47
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Improved Sieve Bootstrap based prediction intervals for time series

, &
Received 25 Jan 2022, Accepted 04 Jul 2023, Published online: 08 Aug 2023

References

  • Alonso, A. M., D. Peña, and J. Romo. 2002. Forecasting time series with sieve bootstrap. Journal of Statistical Planning and Inference 100 (1):1–11. doi: 10.1016/S0378-3758(01)00092-1.
  • Alonso, A. M., D. Peña, and J. Romo. 2003. On sieve bootstrap prediction intervals. Statistics & Probability Letters 65 (1):13–20. doi: 10.1016/S0167-7152(03)00214-1.
  • Alonso, A. M., D. Peña, and J. Romo. 2004. Introducing model uncertainty in time series bootstrap. Statistica Sinica 14:155–74.
  • Beyaztas, U., and H. L. Shang. 2022. Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models. Journal of Applied Statistics 49 (5):1179–202. doi: 10.1080/02664763.2020.1856351.
  • Bhansali, R. J. 1983. A simulation study of autoregressive and window estimators of the inverse correlation function. Journal of the Royal Statistical Society: Series C (Applied Statistics) 32 (2):141–9. doi: 10.2307/2347293.
  • Box, G. E., G. M. Jenkins, G. C. Reinsel, and G. M. Ljung. 2015. Time series aanalysis: Forecasting and control. 5th ed., New Jersey: John Wiley & Sons.
  • Bühlmann, P., and P. Buhlmann. 1997. Sieve bootstrap for time series. Bernoulli 3 (2):123–48. doi: 10.2307/3318584.
  • Chatfield, C. 2000. Time Series Forecasting, Chapman & Hall, USA.
  • Clements, M. P., and N. Taylor. 2001. Bootstrapping prediction intervals for autoregressive models. International Journal of Forecasting 17 (2):247–67. doi: 10.1016/S0169-2070(00)00079-0.
  • Cao, R., M. Febrerobande, W. González-Manteiga, J. M. Prada-Sánchez, and I. Garcfa-Jurado. 1997. Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes. Communications in Statistics - Simulation and Computation 26 (3):961–78. doi: 10.1080/03610919708813420.
  • Efron, B., and R. Tibshirani. 1986. Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. Statistical Science 1 (1):54–75. doi: 10.1214/ss/1177013815.
  • Efron, B., and R. Tibshirani. 1994. An introduction to the bootstrap. Florida: Chapman and Hall.
  • Findley, D. F. 1986. On bootstrap estimates of forecast mean square errors for autoregressive processes. Computer Science and Statistics: The Interface, North-Holland, Amsterdam, 11–7.
  • Hall, P. 2013. The Bootstrap and Edgeworth Expansion. New York: Springer.
  • Kilian, L. 1998. Small-sample confidence intervals for impulse response functions. Review of Economics and Statistics 80 (2):218–30. doi: 10.1162/003465398557465.
  • Künsch, H. R. 1989. The jackknife and the bootstrap for general stationary observations. The Annals of Statistics 17:1217–41.
  • Lu, X., and L. Wang. 2020. Bootstrap prediction interval for ARMA models with unknown orders. REVSTAT–Statistical Journal 18 (3):375–96.
  • Masarotto, G. 1990. Bootstrap prediction intervals for autoregressions. International Journal of Forecasting 6 (2):229–39. doi: 10.1016/0169-2070(90)90008-Y.
  • Mukhopadhyay, P., and V. A. Samaranayake. 2010. Prediction intervals for time series: A modified sieve bootstrap approach. Communications in Statistics - Simulation and Computation 39 (3):517–38. doi: 10.1080/03610910903506521.
  • Pan, L., and D. N. Politis. 2016. Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions. Journal of Statistical Planning and Inference 177:1–27. doi: 10.1016/j.jspi.2014.10.003.
  • Pascual, L., J. Romo, and E. Ruiz. 2001. Effects of parameter estimation on prediction densities: A bootstrap approach. International Journal of Forecasting 17 (1):83–103. doi: 10.1016/S0169-2070(00)00069-8.
  • Pascual, L., J. Romo, and E. Ruiz. 2004. Bootstrap predictive inference for ARIMA processes. Journal of Time Series Analysis 25 (4):449–65. doi: 10.1111/j.1467-9892.2004.01713.x.
  • Politis, D. N., J. P. Romano, and M. Wolf. 1999. Subsampling. New York: Springer.
  • Stine, R. A. 1987. Estimating properties of autoregressive forecasts. Journal of the American Statistical Association 82 (400):1072–8. doi: 10.1080/01621459.1987.10478542.
  • Thombs, L. A., and W. R. Schucany. 1990. Bootstrap prediction intervals for autoregression. Journal of the American Statistical Association 85 (410):486–92. doi: 10.1080/01621459.1990.10476225.
  • Yolcu, U., Y. Jin, and E. Egrioglu. 2016. An ensemble of single multiplicative neuron models for probabilistic prediction. In 2016 IEEE Symposium Series on Computational Intelligence (SSCI), 1–8. doi: 10.1109/SSCI.2016.7849975.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.