Prediction Intervals for Stationary Time Series Using the Sieve
by Adam Zagdanski
We consider the problem of constructing prediction
intervals for future observations of stationary time series.
Our approach relies on the sieve bootstrap procedure.
A more traditional Gaussian strategy is also presented.
Accuracy of the proposed methods is verified via numerical
comparison including both Gaussian and non-Gaussian data.
Prediction Interval, Bootstrap, Method of Sieves
READING THE ARTICLE: You can read the article in
portable document (.pdf) format (198694 bytes.)
NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.
This page has been accessed 3557 times since July 24, 2006.
Return to the Home Page.