On sieve bootstrap prediction intervals.

Alonso, Andrés M.; Peña, Daniel; Romo Urroz, Juan

On sieve bootstrap prediction intervals.

Autor(es): Alonso, Andrés M.; Peña, Daniel; Romo Urroz, Juan

Editorial: Elsevier

Fecha de edición: 2003-10-15

Cita: Statistics & Probability Letters, (15 Oct. 2003), 65(1), 13-20.

ISSN: 0167-7152

DOI: 10.1016/S0167-7152(03)00214-1

Agradecimientos: 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.

Versión del editor: http://dx.doi.org/10.1016/S0167-7152(03)00214-1

Palabras clave: Sieve bootstrap , Prediction intervals , Linear processes

URI: http://hdl.handle.net/10016/14889

Resumen:

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 giv [+]

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