Bootstrap prediction intervals in State Space models
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- Alejandro Rodriguez & Esther Ruiz, 2009. "Bootstrap prediction intervals in state–space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 167-178, March.
References listed on IDEAS
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- Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
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- Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008. "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers 11/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009.
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Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 62-74, January.
- Rodríguez, Alejandro, 2010. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," DES - Working Papers. Statistics and Econometrics. WS ws100301, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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Keywords
Backward representation;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-04-04 (Econometrics)
- NEP-ETS-2008-04-04 (Econometric Time Series)
- NEP-FOR-2008-04-04 (Forecasting)
- NEP-ORE-2008-04-04 (Operations Research)
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