Construction of multi-step forecast regions of VAR processes using ordered block bootstrap

DOI10.1080/03610918.2019.1596282zbMath1497.62229OpenAlexW2942575947MaRDI QIDQ5082681

Beste Hamiye Beyaztas

Publication date: 21 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610918.2019.1596282

zbMATH Keywords

block bootstrapvector autoregressive modelmultivariate forecastforecast region

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series

Uses Software

• JMulTi

Cites Work

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