BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS

被引：46

作者：

MASAROTTO, G

机构：

[1] Dipartimento di Scienze Statistische, Università di Padova

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 1990年 / 6卷 / 02期

关键词：

Autoregressive models; Bootstrap; Prediction intervals;

D O I：

10.1016/0169-2070(90)90008-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The bootstrap technique is applied to obtain interval forecasts for an autoregressive time series. The relevant features of the proposed method are: (i) it is distribution-free, and (ii) it explicitly takes into account that order and parameters of the model are estimated from the data. © 1990.

引用

页码：229 / 239

页数：11

共 16 条

[1] NEW LOOK AT STATISTICAL-MODEL IDENTIFICATION [J].