Bootstrap prediction regions for multivariate autoregressive processes

DOI10.1007/S10260-005-0113-YzbMath1084.62093OpenAlexW2039376366MaRDI QIDQ819437

Matteo Grigoletto

Publication date: 28 March 2006

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-005-0113-y

zbMATH Keywords

tablesforecastingvector autoregressive (VAR) models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (4)

Bootstrap prediction bands for forecast paths from vector autoregressive models ⋮ Construction of multi-step forecast regions of VAR processes using ordered block bootstrap ⋮ Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC ⋮ Bootstrapping Periodic State-Space Models

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