𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Bootstrap prediction intervals in state–space models

✍ Scribed by Alejandro Rodriguez; Esther Ruiz

Book ID
111040089
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
243 KB
Volume
30
Category
Article
ISSN
0143-9782

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Prediction intervals for exponential smo
Prediction intervals for exponential smoothing using two new classes of state space models
✍ Rob J. Hyndman; Anne B. Koehler; J. Keith Ord; Ralph D. Snyder 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 English ⚖ 165 KB 👁 1 views

Three general classes of state space models are presented, using the single source of error formulation. The first class is the standard linear model with homoscedastic errors, the second retains the linear structure but incorporates a dynamic form of heteroscedasticity, and the third allows for non

Bootstrap prediction intervals for autor
Bootstrap prediction intervals for autoregressive models of unknown or infinite lag order
✍ Jae H. Kim 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 215 KB

## 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