Bootstrap Prediction in Unobserved Component Models

DOI10.1007/978-3-7908-2604-3_11zbMath1436.62449OpenAlexW2096587525MaRDI QIDQ3298458

Esther Ruiz Ortega, Alejandro Rodríguez

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_11

zbMATH Keywords

state space modelsparameter uncertaintyprediction intervalsNAIRUoutput gap

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20)

Cites Work

• Unnamed Item
• Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
• A standard error for the estimated state vector of a state-space model
• Bootstrap prediction intervals in state-space models
• A State space approach to bootstrapping conditional forecasts in arma models
• Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters

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