Bootstrapping prediction intervals for autoregressive models
β Scribed by Michael P. Clements; Nick Taylor
- Book ID
- 114174641
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 155 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0169-2070
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π SIMILAR VOLUMES
## 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
## Abstract This paper proposes the use of the biasβcorrected bootstrap for interval forecasting of an autoregressive time series with an arbitrary number of deterministic components. We use the biasβcorrected bootstrap based on two alternative biasβcorrection methods: the bootstrap and an analytic