On sieve bootstrap prediction intervals.

Alonso Fernández, Andrés Modesto; Peña, Daniel; Romo, Juan

On sieve bootstrap prediction intervals.

Author(s): Alonso Fernández, Andrés Modesto; Peña, Daniel; Romo, Juan

Publisher: Elsevier

Issued date: 2003-10-15

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

ISSN: 0167-7152

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

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

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

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 giv [+]

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