References
- Alonso , A. M. , Peña , D. , Romo , J. ( 2002 ). Forecasting time series with sieve bootstrap . Journal of Statistical Planning and Inference 100 : 1 – 11 .
- Alonso , A. M. , Peña , D. , Romo , J. ( 2003 ). On sieve bootstrap prediction intervals . Statistics and Probability Letters 65 : 13 – 20 .
- Alonso , A. M. , Peña , D. , Romo , J. ( 2004 ). Introducing model uncertainty in time series bootstrap . Statistica Sinica 14 : 155 – 174 .
- Alonso , A. M. ( 2004 ). A FORTRAN routine for sieve bootstrap prediction intervals . Journal of Modern Applied Statistical Methods 3 : 239 – 249 .
- Bain , L. J. , Engelhardt , M. ( 1997 ). Introduction to Probability and Mathematical Statistics. , 2nd ed. Pacific Grove : Duxbury Press, Brooke/Cole .
- Berkowitz , J. , Kilian , L. ( 2000 ). Recent developments in bootstrapping time series . Econometric Reviews 19 : 1 – 48 .
- Bhansali , R. J. (1983). A simulation study of autoregressive and window estimators of the inverse correlation function. Applied Statistics 32:141–149.
- Box , G. E. P. , Jenkins , G. M. ( 1976 ). Time Series Analysis Forecasting on Control . Okland : Holden-Day .
- Bühlmann , P. ( 1997 ). Sieve bootstrap for time series . Bernoulli 3 : 123 – 148 .
- Cao , R. , Feberobande , M. , Gonzáles-Manteiga , W. , Prada-Sánchez , J. M. , Garcia-Juardo , I. ( 1997 ). Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes . Communications in Statistics: Simulation and Computation 26 : 961 – 978 .
- Clements , M. P. , Taylor , N. ( 2001 ). Bootstrapping prediction intervals for autoregressive models . International Journal of Forecasting 17 : 247 – 267 .
- Davison , A. C. , Hinkley , D.V. ( 2003 ). Bootstrap Methods and their Applications . New York : Cambridge University Press .
- Efron , B. , Tibshirani , R. ( 1986 ). Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy . The Annals of Statistics 7 : 1 – 26 .
- Findley , D. F. ( 1986 ). On bootstrap estimates of forecast mean square errors for autoregressive processes . In: Allen , D. M. ed. Computer Science and Statistics: Proceedings of the 17th Symposium on the Interface , pp. 11 – 17 .
- Freedman , D. A. , Peters , S. C. ( 1984 ). Bootstrapping a regression equation: some empirical results . Journal of the American Statistical Association 79 : 97 – 106 .
- Geman , S. , Hwang , C. R. ( 1982 ). Nonparametric maximum likelihood estimation by the method of sieves . The Annals of Statistics 10 : 401 – 414 .
- Grenander , U. ( 1981 ). Abstract Inference . New York : Wiley .
- Grigoletto , M. ( 1998 ). Bootstrap prediction intervals for autoregression: some alternatives . International Journal of Forecasting 14 : 447 – 456 .
- Hurvich , C. M. , Tsai , C. ( 1989 ). Regression and time series model selection in small samples . Biometrika 76 : 297 – 307 .
- Kilian , L. ( 1998a ). Confidence intervals for impulse responses under departures from normality . Econometric Reviews 17 : 1 – 29 .
- Kilian , L. ( 1998b ). Small-sample confidence intervals for impulse response functions . The Review of Economics and Statistics 80 : 218 – 230 .
- Kreiss , J. P. , Franke , J. ( 1992 ). Bootstrapping stationary autoregressive moving average models . Journal of Time Series Analysis 13 : 297 – 317 .
- Künsch , H. R. ( 1989 ). The jackknife and the bootstrap for general stationary observations . The Annals of Statistics 17 : 1217 – 1241 .
- Liu , R. Y. , Singh , K. ( 1992 ). Moving blocks jackknife and bootstrap capture week dependence . In: Lepage , R. , Billard , L. eds. Exploring the Limits of Bootstrap . New York : Wiley , pp. 225 – 248 .
- Masarotto , G. ( 1990 ). Bootstrap prediction intervals for autoregressions . International Journal of Forecasting 6 : 229 – 239 .
- Pascual , L. , Romo , J. , Ruiz , E. ( 2001 ). Effects of parameter estimation on prediction densities: a bootstrap approach . International Journal of Forecasting 17 : 83 – 103 .
- Pascual , L. , Romo , J. , Ruiz , E. ( 2004 ). Bootstrap predictive inference for ARIMA processes . Journal of Time Series Analysis 25 : 449 – 465 .
- Stine , R. A. ( 1982 ). Prediction Intervals for Time Series. Ph.D. dissertation, Princeton University, Department of Statistics, Princeton, NJ, unpublished .
- Stine , R. A. ( 1987 ). Estimating properties of autoregressive forecasts . Journals of the American Statistical Association 82 : 1072 – 1078 .
- Thombs , L. A. , Schucany , W. R. ( 1990 ). Bootstrap prediction intervals for autoregression . Journal of the American Statistical Association 85 : 486 – 492 .