Discussion: Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

DOI10.1016/J.JSPI.2015.10.012zbMath1353.62098OpenAlexW2219193451MaRDI QIDQ301350

Jens-Peter Kreiss

Publication date: 30 June 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.10.012

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (1)

A justification of conditional confidence intervals

Cites Work

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• On the range of validity of the autoregressive sieve bootstrap
• The jackknife and the bootstrap for general stationary observations
• On a measure of lack of fit in time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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