Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes

DOI10.1080/03610919708813420zbMath0925.62395OpenAlexW2001605901WikidataQ61849365 ScholiaQ61849365MaRDI QIDQ4387677

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Publication date: 10 August 1998

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919708813420

zbMATH Keywords

time seriessmoothed bootstrap

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

• Estimation of integrated squared density derivatives
• A comparative study of several smoothing methods in density estimation
• Optimizing the smoothed bootstrap
• Bootstrap Prediction Intervals for Autoregression
• Smoothing the Bootstrap
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• Predicting Using Box-Jenkins, Nonparametric, and Bootstrap Techniques
• On Estimation of a Probability Density Function and Mode