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Prediction intervals for time series models with trend via sieve bootstrap

✍ Scribed by Grzegorz Chłapiński; Roman Różański

Book ID
118481218
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
351 KB
Volume
143
Category
Article
ISSN
0378-3758

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## Abstract This paper proposes the use of the bias‐corrected bootstrap for interval forecasting of an autoregressive time series with an arbitrary number of deterministic components. We use the bias‐corrected bootstrap based on two alternative bias‐correction methods: the bootstrap and an analytic