On sieve bootstrap prediction intervals

In this paper we consider a sieve bootstrap method for constructing nonparametric prediction intervals for a general class of linear processes. We show that the sieve bootstrap provides consistent estimators of the conditional distribution of future values given the observed data.

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Year of publication:	2003
Authors:	Alonso, Andrés M. ; Peña, Daniel ; Romo, Juan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 65.2003, 1, p. 13-20
Publisher:	Elsevier
Keywords:	Sieve bootstrap Prediction intervals Linear processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223915