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Forecasting nonlinear time series with neural network sieve bootstrap

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  • Giordano, Francesco
  • La Rocca, Michele
  • Perna, Cira

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  • Giordano, Francesco & La Rocca, Michele & Perna, Cira, 2007. "Forecasting nonlinear time series with neural network sieve bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3871-3884, May.
    • Handle: RePEc:eee:csdana:v:51:y:2007:i:8:p:3871-3884
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    References listed on IDEAS

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    1. La Rocca, Michele & Perna, Cira, 2005. "Variable selection in neural network regression models with dependent data: a subsampling approach," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 415-429, February.
    2. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    3. Capobianco, Enrico, 2000. "Neural networks and statistical inference: seeking robust and efficient learning," Computational Statistics & Data Analysis, Elsevier, vol. 32(3-4), pages 443-454, January.
    4. Brodin, Erik, 2006. "On quantile estimation by bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1398-1406, March.
    5. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
    6. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
    7. Nankervis, John C., 2005. "Computational algorithms for double bootstrap confidence intervals," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 461-475, April.
    8. Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December.
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    Cited by:

    1. Fuertes, Ana-Maria, 2008. "Sieve bootstrap t-tests on long-run average parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3354-3370, March.
    2. Tsao, Hao-Han & Leu, Yih-Guang & Chou, Li-Fen, 2021. "A center-of-concentrated-based prediction interval for wind power forecasting," Energy, Elsevier, vol. 237(C).
    3. Xie, Yuying & Li, Chaoshun & Tang, Geng & Liu, Fangjie, 2021. "A novel deep interval prediction model with adaptive interval construction strategy and automatic hyperparameter tuning for wind speed forecasting," Energy, Elsevier, vol. 216(C).
    4. Oscar Claveria & Enric Monte & Salvador Torra, 2016. "Modelling cross-dependencies between Spain’s regional tourism markets with an extension of the Gaussian process regression model," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(3), pages 341-357, August.
    5. Alonso, Andres M. & Sipols, Ana E., 2008. "A time series bootstrap procedure for interpolation intervals," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1792-1805, January.
    6. Catalina Lucia COCIANU & Hakob GRIGORYAN, 2015. "An Artificial Neural Network for Data Forecasting Purposes," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 19(2), pages 34-45.
    7. Artemisa Zaragoza-Ibarra & Gerardo G. Alfaro-Calderón & Víctor G. Alfaro-García & Fernando Ornelas-Tellez & Rodrigo Gómez-Monge, 2021. "A machine learning model of national competitiveness with regional statistics of public expenditure," Computational and Mathematical Organization Theory, Springer, vol. 27(4), pages 451-468, December.
    8. Ivan Letteri & Giuseppe Della Penna & Giovanni De Gasperis & Abeer Dyoub, 2022. "A Stock Trading System for a Medium Volatile Asset using Multi Layer Perceptron," Papers 2201.12286, arXiv.org.
    9. Dimitris N. Politis & Kejin Wu, 2023. "Multi-Step-Ahead Prediction Intervals for Nonparametric Autoregressions via Bootstrap: Consistency, Debiasing, and Pertinence," Stats, MDPI, vol. 6(3), pages 1-29, August.
    10. Vilar, J.A. & Alonso, A.M. & Vilar, J.M., 2010. "Non-linear time series clustering based on non-parametric forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2850-2865, November.

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