Sieve Bootstrap Prediction Intervals for Contamined BIP-ARMA Processes

2012 ◽  
Author(s):  
Gustavo Ulloa ◽  
Hector Allende
Keyword(s):  
Prediction Intervals ◽  
Sieve Bootstrap ◽  
Arma Processes

Simultaneous prediction intervals for ARMA processes with stable innovations

2009 ◽  
Vol 28 (3) ◽  
pp. 235-246 ◽  
Author(s):  
John P. Nolan ◽  
Nalini Ravishanker
Keyword(s):  
Prediction Intervals ◽  
Arma Processes ◽  
Simultaneous Prediction

scholarly journals Prediction intervals and regions for multivariate time series models with sieve bootstrap

2018 ◽  
Vol 38 (2) ◽  
pp. 317-357
Author(s):  
Maciej Kawecki ◽  
Roman Różański ◽  
Grzegorz Chłapiński ◽  
Marcin Hławka ◽  
Krzysztof Jamróz ◽  
...  
Keyword(s):  
Time Series ◽  
Simulation Study ◽  
Linear Time ◽  
Multivariate Time Series ◽  
Prediction Intervals ◽  
Time Series Models ◽  
Bootstrap Procedure ◽  
Sieve Bootstrap ◽  
Prediction Regions ◽  
Theoretical Results

In the paper, the construction of unconditional bootstrap prediction intervals and regions for some class of second order stationary multivariate linear time series models is considered. Our approach uses the sieve bootstrap procedure introduced by Kreiss 1992 and Bühlmann 1997. Basic theoretical results concerning consistency of the bootstrap replications and the bootstrap prediction regions are proved. We present a simulation study comparing the proposed bootstrap methods with the Box–Jenkins approach.

scholarly journals Sieve bootstrap prediction intervals

COMPSTAT ◽  
2000 ◽  
pp. 181-186
Author(s):  
Andrés M. Alonso ◽  
Daniel Peña ◽  
Juan Romo
Keyword(s):  
Prediction Intervals ◽  
Sieve Bootstrap

Obtaining prediction intervals for FARIMA processes using the sieve bootstrap

2013 ◽  
Vol 84 (9) ◽  
pp. 2044-2058 ◽  
Author(s):  
Maduka Rupasinghe ◽  
Purna Mukhopadhyay ◽  
V.A. Samaranayake
Keyword(s):  
Prediction Intervals ◽  
Sieve Bootstrap ◽  
Farima Processes
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