IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
β Scribed by F. Jay Breidt; Richard A. Davis; William T. M. Dunsmuir
- Book ID
- 111039783
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 1006 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
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## Abstract In this paper we present guaranteedβcontent prediction intervals for time series data. These intervals are such that their content (or coverage) is guaranteed with a given high probability. They are thus more relevant for the observed time series at hand than classical prediction interv
## 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