On sieve bootstrap prediction intervals

被引：23

作者：

Alonso, AM ^{[1
]}

Peña, D

Romo, J

机构：

[1] Univ Autonoma Madrid, Dept Math, Madrid 28049, Spain

[2] Univ Carlos III Madrid, Dept Stat & Econometr, Madrid, Spain

来源：

STATISTICS & PROBABILITY LETTERS | 2003年 / 65卷 / 01期

关键词：

sieve bootstrap; prediction intervals; linear processes;

D O I：

10.1016/S0167-7152(03)00214-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider a sieve bootstrap method for constructing nonparametric prediction intervals for a general class of linear processes. We show that the sieve bootstrap provides consistent estimators of the conditional distribution of future values given the observed data. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：13 / 20

页数：8

共 14 条

[1] Forecasting time series with sieve bootstrap [J].