A new bootstrap-based forecast evaluation method tested on time series

DOI10.1007/S10559-008-0011-ZzbMath1144.62342OpenAlexW1970914721MaRDI QIDQ946723

V. V. Kitov

Publication date: 24 September 2008

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-008-0011-z

zbMATH Keywords

bootstrapcredits in Peruforecast accuracy evaluationGNP of Brazilinexact evaluation of parameters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Cites Work

• Recent developments in bootstrapping time series
• Asymptotic Inference about Predictive Ability
• The elements of statistical learning. Data mining, inference, and prediction
• Unnamed Item

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