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On sieve bootstrap prediction intervals.

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URI: http://hdl.handle.net/10016/14889
ISSN: 0167-7152
DOI: 10.1016/S0167-7152(03)00214-1
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sieve_SPL_2012_ps.pdf (364.61 KB)
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2003-10-15
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Elsevier
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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.
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Sieve bootstrap, Prediction intervals, Linear processes
Bibliographic citation
Statistics & Probability Letters, (15 Oct. 2003), 65(1), 13-20.
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