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Bootstrap prediction intervals for autoregressions

✍ Scribed by Guido Masarotto

Book ID: 119138554
Publisher: Elsevier Science
Year: 1990
Tongue: English
Weight: 914 KB
Volume: 6
Category: Article
ISSN: 0169-2070
DOI: 10.1016/0169-2070(90)90008-y

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## Abstract Recent studies on bootstrap prediction intervals for autoregressive (AR) model provide simulation findings when the lag order is known. In practical applications, however, the AR lag order is unknown or can even be infinite. This paper is concerned with prediction intervals for AR model