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ON THE CONSTRUCTION AND PROPERTIES OF BOOTSTRAP-t PREDICTION INTERVALS FOR STATIONARY TIME SERIES
Prediction intervals sieve bootstrap-t method of sieves
2009/9/18
We consider the construction of unconditional bootstrap-
t prediction intervals for stationary time series. Our approach
relies on the sieve bootstrap resampling scheme introduced by
Biihlmann.
Ba...
The Asymptotic Efficiency of Improved Prediction Intervals
Asymptotic efficiency estimative prediction limit improvedprediction limit
2010/3/17
Barndorff-Nielsen and Cox (1994, p.319) modify an estimative
prediction limit to obtain an improved prediction limit with better coverage properties.
Kabaila and Syuhada (2008) present a simulation-...