Sieve Bootstrap Prediction Intervals for Contamined BIP-ARMA Processes

Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach

Communications in Statistics - Simulation and Computation ◽

10.1080/03610910903506521 ◽

2010 ◽

Vol 39 (3) ◽

pp. 517-538 ◽

Cited By ~ 3

Author(s):

Purna Mukhopadhyay ◽

V. A. Samaranayake

Keyword(s):

Time Series ◽

Prediction Intervals ◽

Sieve Bootstrap ◽

Bootstrap Approach

Simultaneous prediction intervals for ARMA processes with stable innovations

Journal of Forecasting ◽

10.1002/for.1102 ◽

2009 ◽

Vol 28 (3) ◽

pp. 235-246 ◽

Cited By ~ 2

Author(s):

John P. Nolan ◽

Nalini Ravishanker

Keyword(s):

Prediction Intervals ◽

Arma Processes ◽

Simultaneous Prediction

Prediction intervals for time series models with trend via sieve bootstrap

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2012.08.013 ◽

2013 ◽

Vol 143 (2) ◽

pp. 221-236 ◽

Cited By ~ 2

Author(s):

Grzegorz Chłapiński ◽

Roman Różański

Keyword(s):

Time Series ◽

Prediction Intervals ◽

Time Series Models ◽

Sieve Bootstrap

Sieve Bootstrap Prediction Intervals for Contaminated Non-linear Processes

Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-642-41822-8_11 ◽

2013 ◽

pp. 84-91 ◽

Cited By ~ 2

Author(s):

Gustavo Ulloa ◽

Héctor Allende-Cid ◽

Héctor Allende

Keyword(s):

Prediction Intervals ◽

Linear Processes ◽

Sieve Bootstrap ◽

Non Linear

PREDICTION INTERVALS FOR STATIONARY TIME SERIES USING THE SIEVE BOOTSTRAP METHOD

Demonstratio Mathematica ◽

10.1515/dema-2001-0224 ◽

2001 ◽

Vol 34 (2) ◽

pp. 257-270 ◽

Cited By ~ 1

Author(s):

Adam Zagdański

Keyword(s):

Time Series ◽

Bootstrap Method ◽

Prediction Intervals ◽

Stationary Time Series ◽

Sieve Bootstrap ◽

Stationary Time

Asymptotic properties of sieve bootstrap prediction intervals for processes

Statistics & Probability Letters ◽

10.1016/j.spl.2012.07.011 ◽

2012 ◽

Vol 82 (12) ◽

pp. 2108-2114 ◽

Cited By ~ 4

Author(s):

Maduka Rupasinghe ◽

V.A. Samaranayake

Keyword(s):

Asymptotic Properties ◽

Prediction Intervals ◽

Sieve Bootstrap

Prediction Intervals in Linear and Nonlinear Time Series with Sieve Bootstrap Methodology

Empirical Economic and Financial Research - Advanced Studies in Theoretical and Applied Econometrics ◽

10.1007/978-3-319-03122-4_16 ◽

2014 ◽

pp. 255-273

Author(s):

Héctor Allende ◽

Gustavo Ulloa ◽

Héctor Allende-Cid

Keyword(s):

Time Series ◽

Nonlinear Time Series ◽

Prediction Intervals ◽

Sieve Bootstrap ◽

Linear And Nonlinear ◽

Bootstrap Methodology

Prediction intervals and regions for multivariate time series models with sieve bootstrap

Probability and Mathematical Statistics ◽

10.19195/0208-4147.38.2.5 ◽

2018 ◽

Vol 38 (2) ◽

pp. 317-357

Author(s):

Maciej Kawecki ◽

Roman Różański ◽

Grzegorz Chłapiński ◽

Marcin Hławka ◽

Krzysztof Jamróz ◽

...

Keyword(s):

Time Series ◽

Simulation Study ◽

Linear Time ◽

Multivariate Time Series ◽

Prediction Intervals ◽

Time Series Models ◽

Bootstrap Procedure ◽

Sieve Bootstrap ◽

Prediction Regions ◽

Theoretical Results

In the paper, the construction of unconditional bootstrap prediction intervals and regions for some class of second order stationary multivariate linear time series models is considered. Our approach uses the sieve bootstrap procedure introduced by Kreiss 1992 and Bühlmann 1997. Basic theoretical results concerning consistency of the bootstrap replications and the bootstrap prediction regions are proved. We present a simulation study comparing the proposed bootstrap methods with the Box–Jenkins approach.