IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v65y2003i1p13-20.html
   My bibliography  Save this article

On sieve bootstrap prediction intervals

Author

Listed:
  • Alonso, Andrés M.
  • Peña, Daniel
  • Romo, Juan

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.

Suggested Citation

  • Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003. "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 13-20, October.
  • Handle: RePEc:eee:stapro:v:65:y:2003:i:1:p:13-20
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(03)00214-1
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2000. "Forecasting time series with sieve bootstrap," DES - Working Papers. Statistics and Econometrics. WS 9858, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Bühlmann, Peter, 1995. "Moving-average representation of autoregressive approximations," Stochastic Processes and their Applications, Elsevier, vol. 60(2), pages 331-342, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Juan Carlos Pérez-Velasco Pavón, 2009. "Determinantes de la demanda por la denominación promedio de billete: el caso de México," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 523-548, octubre-d.
    2. Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
    3. Alonso, A.M. & Berrendero, J.R. & Hernandez, A. & Justel, A., 2006. "Time series clustering based on forecast densities," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 762-776, November.
    4. Juan Díaz Maureira & Gustavo Leyva Jiménez, 2009. "Proyección de la inflación chilena en tiempos difíciles," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 491-522, octubre-d.
    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. Rupasinghe, Maduka & Samaranayake, V.A., 2012. "Asymptotic properties of sieve bootstrap prediction intervals for FARIMA processes," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2108-2114.
    7. Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 451-489, octubre-d.
    8. Andrés Alonso & Ana Sipols & Silvia Quintas, 2013. "A single-index model procedure for interpolation intervals in time series," Computational Statistics, Springer, vol. 28(4), pages 1463-1484, August.
    9. Andrés Schneider, 2009. "Regímenes de flotación administrada: un enfoque de cartera," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 549-584, octubre-d.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:65:y:2003:i:1:p:13-20. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.