Asymptotic properties of sieve bootstrap prediction intervals for FARIMA processes
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DOI: 10.1016/j.spl.2012.07.011
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References listed on IDEAS
- D. S. Poskitt, 2008.
"Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 224-250, March.
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- Alonso, Andrés M. & Peña, Daniel & Romo, Juan, 2003. "On sieve bootstrap prediction intervals," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 13-20, October.
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Cited by:
- Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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Keywords
ARFIMA; Forecast intervals; Fractionally integrated time series; Long memory processes; Autoregressive approximations;All these keywords.
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