A time series bootstrap procedure for interpolation intervals

被引：9

作者：

Alonso, Andres M. ^{[1
]}

Sipols, Ana E. ^{[1
]}

机构：

[1] Univ Carlos III Madrid, Dept Stat, Madrid 28903, Spain

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2008年 / 52卷 / 04期

关键词：

time series; interpolation intervals; sieve bootstrap;

D O I：

10.1016/j.csda.2007.05.029

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 [计算机应用技术]; 0835 [软件工程];

摘要：

A sieve bootstrap procedure for constructing interpolation intervals for a general class of linear processes is proposed. This sieve bootstrap provides consistent estimators of the conditional distribution of the missing values, given the observed data. A Monte Carlo experiment is used to show the finite sample properties of the sieve bootstrap and finally, the performance of the proposed method is illustrated with a real data example. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：1792 / 1805

页数：14

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