Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
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Publication:5219458
DOI10.1080/00949655.2013.781271zbMath1453.62643OpenAlexW1999785166MaRDI QIDQ5219458
Purna Mukhopadhyay, V. A. Samaranayake, Maduka Rupasinghe
Publication date: 12 March 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2013.781271
long memory processesforecastingfractionally integrated time seriesARFIMA processesmodel-based bootstrap
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
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Prediction intervals in the beta autoregressive moving average model ⋮ Obtaining prediction intervals for FARIMA processes using the sieve bootstrap
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