• Prediction intervals and regions for multivariate time series models with sieve bootstrap

Prediction intervals and regions for multivariate time series models with sieve bootstrap

DOI: https://doi.org/10.19195/0208-4147.38.2.5
Maciej Kawecki
Google Scholar Maciej Kawecki
Roman Różański
Google Scholar Roman Różański
Grzegorz Chłapiński
Google Scholar Grzegorz Chłapiński
Marcin Hławka
Google Scholar Marcin Hławka
Krzysztof Jamróz
Google Scholar Krzysztof Jamróz
Adam Zagdański
Google Scholar Adam Zagdański
Publikacja:

Abstrakt

In the paper, the construction of unconditional bootstrap prediction intervals and regions for some class of second order stationary multivariate linear time series models is considered. Our approach uses the sieve bootstrap procedure introduced by Kreiss 1992 and Bühlmann 1997. Basic theoretical results concerning consistency of the bootstrap replications and the bootstrap prediction regions are proved. We present a simulation study comparing the proposed bootstrap methods with the Box–Jenkins approach.

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