On the consistency of sieve bootstrap prediction intervals for stationary time series

Roman Różański; Adam Zagdański

Discussiones Mathematicae Probability and Statistics (2004)

  • Volume: 24, Issue: 1, page 5-40
  • ISSN: 1509-9423

Abstract

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In the article, we consider construction of prediction intervals for stationary time series using Bühlmann's [8], [9] sieve bootstrapapproach. Basic theoretical properties concerning consistency are proved. We extend the results obtained earlier by Stine [21], Masarotto and Grigoletto [13] for an autoregressive time series of finite order to the rich class of linear and invertible stationary models. Finite sample performance of the constructed intervals is investigated by computer simulations.

How to cite

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Roman Różański, and Adam Zagdański. "On the consistency of sieve bootstrap prediction intervals for stationary time series." Discussiones Mathematicae Probability and Statistics 24.1 (2004): 5-40. <http://eudml.org/doc/287725>.

@article{RomanRóżański2004,
abstract = {In the article, we consider construction of prediction intervals for stationary time series using Bühlmann's [8], [9] sieve bootstrapapproach. Basic theoretical properties concerning consistency are proved. We extend the results obtained earlier by Stine [21], Masarotto and Grigoletto [13] for an autoregressive time series of finite order to the rich class of linear and invertible stationary models. Finite sample performance of the constructed intervals is investigated by computer simulations.},
author = {Roman Różański, Adam Zagdański},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {prediction intervals; sieve bootstrap; method of sieves},
language = {eng},
number = {1},
pages = {5-40},
title = {On the consistency of sieve bootstrap prediction intervals for stationary time series},
url = {http://eudml.org/doc/287725},
volume = {24},
year = {2004},
}

TY - JOUR
AU - Roman Różański
AU - Adam Zagdański
TI - On the consistency of sieve bootstrap prediction intervals for stationary time series
JO - Discussiones Mathematicae Probability and Statistics
PY - 2004
VL - 24
IS - 1
SP - 5
EP - 40
AB - In the article, we consider construction of prediction intervals for stationary time series using Bühlmann's [8], [9] sieve bootstrapapproach. Basic theoretical properties concerning consistency are proved. We extend the results obtained earlier by Stine [21], Masarotto and Grigoletto [13] for an autoregressive time series of finite order to the rich class of linear and invertible stationary models. Finite sample performance of the constructed intervals is investigated by computer simulations.
LA - eng
KW - prediction intervals; sieve bootstrap; method of sieves
UR - http://eudml.org/doc/287725
ER -

References

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