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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/14889
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| Title: | On sieve bootstrap prediction intervals. |
| Author(s): | Alonso, Andrés M.
Peña, Daniel
Romo Urroz, Juan |
| Publisher: | Elsevier |
| Issued date: | 15-Oct-2003 |
| Citation: | Statistics & Probability Letters, (15 Oct. 2003), 65(1), 13-20. |
| URI: | http://hdl.handle.net/10016/14889 |
| ISSN: | 0167-7152 |
| DOI: | 10.1016/S0167-7152(03)00214-1 |
| Abstract: | In this paper we consider a sieve bootstrap method for constructing nonparametric prediction intervals for a general class of linear processes. We show that the sieve bootstrap provides consistent estimators of the conditional distribution of future values given the observed data. |
| Sponsor: | We would like to thank Mike Wiper for his careful reading which greatly improved the paper. This research was partially supported by the CYCIT project BEC 2000-0167 and by the Cátedra de Calidad BBVA. |
| Publisher version: | http://dx.doi.org/10.1016/S0167-7152(03)00214-1 |
| Keywords: | Sieve bootstrap
Prediction intervals
Linear processes |
| Appears in Collections: | DES - Artículos de Revistas
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