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Bootstrap prediction intervals for t...

Pan, Li.

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Bootstrap prediction intervals for time series.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Bootstrap prediction intervals for time series./
作者:	Pan, Li.
面頁冊數:	153 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-03(E), Section: B.
Contained By:	Dissertation Abstracts International75-03B(E).
標題:	Statistics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3602962
ISBN:	9781303566622

Bootstrap prediction intervals for time series.
Pan, Li.

Bootstrap prediction intervals for time series. - 153 p.

Source: Dissertation Abstracts International, Volume: 75-03(E), Section: B.

Thesis (Ph.D.)--University of California, San Diego, 2013.

We construct bootstrap prediction intervals for linear autoregressions, nonlinear autoregressions, nonparametric autoregressions and Markov processes. Several forward and backward bootstrap methods using predictive residuals and fitted residuals are introduced and applied to those time series. We describe exact algorithms for these different models and show that the bootstrap intervals properly estimate the distribution of the future values. In simulations using standard time series models, we compare the prediction intervals of different methods with regards to coverage level and length of interval.

ISBN: 9781303566622Subjects--Topical Terms:

517247
Statistics.

Bootstrap prediction intervals for time series.
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520 $a We construct bootstrap prediction intervals for linear autoregressions, nonlinear autoregressions, nonparametric autoregressions and Markov processes. Several forward and backward bootstrap methods using predictive residuals and fitted residuals are introduced and applied to those time series. We describe exact algorithms for these different models and show that the bootstrap intervals properly estimate the distribution of the future values. In simulations using standard time series models, we compare the prediction intervals of different methods with regards to coverage level and length of interval.
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