Prediction Intervals for Stationary Time Series Using the Sieve Bootstrap Method

by Adam Zagdanski .

Abstract: 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.

Key Words: Prediction Interval, Bootstrap, Method of Sieves

Author:
Adam Zagdanski, zagdan@ulam.im.pwr.wroc.pl

Editor: Wei-Min Huang , wh02@lehigh.edu

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 3368 times since July 24, 2006.


Return to the InterStat Home Page.