Improved bootstrap prediction intervals for SETAR models

DOI10.1007/s00362-014-0643-1zbMath1332.62109OpenAlexW2071360160MaRDI QIDQ259663

Anna Staszewska-Bystrova, Peter Winker

Publication date: 18 March 2016

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0643-1

zbMATH Keywords

prediction intervalsbootstrappingforecast pathSETAR models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) General nonlinear regression (62J02) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Bias Correction of Persistence Measures in Fractionally Integrated Models ⋮ Prediction intervals in the beta autoregressive moving average model ⋮ Generating prediction bands for path forecasts from SETAR models

Cites Work

• Reducing confidence bands for simulated impulse responses
• Introducing model uncertainty by moving blocks bootstrap
• Bootstrap prediction intervals for autoregressive time series
• Small sample properties of the conditional least squares estimator in SETAR models
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• Bootstrap Prediction Intervals for Autoregression

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