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
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