Asymptotic properties of sieve bootstrap prediction intervals for FARIMA processes
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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.
- D. S. Poskitt, 2006. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 12/06, Monash University, Department of Econometrics and Business Statistics.
- D. Poskitt, 2007. "Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 697-725, December.
- Bühlmann, Peter, 1995. "Moving-average representation of autoregressive approximations," Stochastic Processes and their Applications, Elsevier, vol. 60(2), pages 331-342, December.
- 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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- Gonçalves Mazzeu, Joao Henrique & Ruiz, 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 Estadística.
More about this item
KeywordsARFIMA; Forecast intervals; Fractionally integrated time series; Long memory processes; Autoregressive approximations;
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