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Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions · Study

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ArticleBootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

Pan Li2014

OA

Articlebronze2014

Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

Pan Li · Dimitris N. Politis

93 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Forecasting Techniques and Applications Statistical Methods and Inference Time Series Analysis and Forecasting

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2019GARCH Models: Structure, Statistical Inference and Financial Applications 1990Bootstrap Prediction Intervals for Autoregression 1987Estimating Properties of Autoregressive Forecasts 2014GARCH Models: Structure, Statistical Inference and Financial Applications 2011Threshold models in time series analysis — 30 years on 1985Bootstrap Prediction Intervals for Regression 2004Bootstrap predictive inference for ARIMA processes

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2014Bootstrap Joint Prediction Regions 2017Robust bootstrap forecast densities for GARCH returns and volatilities 2015Model-Free vs. Model-Based Volatility Prediction

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Year2014

Typearticle

Published2014-11-07

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations93

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jspi.2014.10.003

openalex_workW2010470010

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