Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes

DOI10.1007/BF03178936zbMath1454.62260OpenAlexW1997742363MaRDI QIDQ5123758

Matteo Grigoletto

Publication date: 29 September 2020

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03178936

zbMATH Keywords

bootstraprobustnessautoregressive processesinterval forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15)

Cites Work

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• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• The jackknife and the bootstrap for general stationary observations
• Bootstrap Prediction Intervals for Autoregression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• The Stationary Bootstrap
• Bootstrapping time series models
• NON-NORMALITY AND TESTS ON VARIANCES
• A Test of Goodness of Fit

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