Bootstrap Joint Prediction Regions

DOI10.1111/jtsa.12099zbMath1325.62069OpenAlexW2109147769MaRDI QIDQ5251504

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Publication date: 20 May 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://www.zora.uzh.ch/id/eprint/113354/1/Bootstrap%20joint.pdf

zbMATH Keywords

simultaneous prediction intervalsgeneralized error ratespath forecast

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (10)

Bootstrap inference for network vector autoregression in large-scale social network ⋮ Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets ⋮ Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ Bootstrap prediction intervals for Markov processes ⋮ Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions ⋮ A note on simultaneous calibrated prediction intervals for time series ⋮ Generating prediction bands for path forecasts from SETAR models ⋮ Improved multivariate prediction regions for Markov process models ⋮ Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts

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• Asymptotic expansions for the mean and variance of the serial correlation coefficient
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