Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes

Matteo Grigoletto

doi:10.1007/bf03178936

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Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes

Matteo Grigoletto

Year: 1998 Journal: Statistical Methods & Applications Vol: 7 (3)Pages: 285-295 Publisher: Springer Science+Business Media

DOI: 10.1007/bf03178936

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Keywords:

Autoregressive model Robustness (evolution) STAR model Prediction interval Econometrics Computer science Statistics Nonlinear autoregressive exogenous model Mathematics Time series Autoregressive integrated moving average

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Advanced Statistical Process Monitoring

Social Sciences → Decision Sciences → Statistics, Probability and Uncertainty

Forecasting Techniques and Applications

Social Sciences → Decision Sciences → Management Science and Operations Research

Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes

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