Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
From MaRDI portal
Publication:3577177
DOI10.1080/03610910903506521zbMath1192.62203OpenAlexW2054976855MaRDI QIDQ3577177
Purna Mukhopadhyay, V. A. Samaranayake
Publication date: 5 August 2010
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910903506521
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)
Related Items (3)
Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes ⋮ Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
Cites Work
- Unnamed Item
- Nonparametric maximum likelihood estimation by the method of sieves
- Bootstrap methods: another look at the jackknife
- Sieve bootstrap for time series
- On sieve bootstrap prediction intervals.
- The jackknife and the bootstrap for general stationary observations
- A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
- Bootstrap Prediction Intervals for Autoregression
- Regression and time series model selection in small samples
- Confidence intervals for impulse responses under departures from normality
- Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes
- Recent developments in bootstrapping time series
- Bootstrap predictive inference for ARIMA processes
- BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
- Forecasting time series with sieve bootstrap
This page was built for publication: Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
