Multiple forecasts with autoregressive time series models: case studies
Author
Abstract
Suggested Citation
DOI: 10.1016/S0378-4754(03)00108-3
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Matteo Grigoletto, 1998. "Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(3), pages 285-295, December.
- R. J. Bhansali, 1974. "Asymptotic Mean‐Square Error of Predicting More than One‐Step Ahead Using the Regression Method," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 23(1), pages 35-42, March.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001.
"Effects of parameter estimation on prediction densities: a bootstrap approach,"
International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
- Pascual, Lorenzo, 1999. "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS 6304, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
- Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
- Glaz, Joseph & Ravishanker, Nalini, 1991. "Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 57-63, July.
- Siu Hung Cheung & Ka Ho Wu & Wai Sum Chan, 1998. "Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 28(3), pages 297-306, September.
- Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
- Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Sameer Al-Dahidi & Piero Baraldi & Enrico Zio & Lorenzo Montelatici, 2021. "Bootstrapped Ensemble of Artificial Neural Networks Technique for Quantifying Uncertainty in Prediction of Wind Energy Production," Sustainability, MDPI, vol. 13(11), pages 1-19, June.
- Mora, Juan & Mora-López, Llanos, 2010. "Comparing distributions with bootstrap techniques: An application to global solar radiation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(4), pages 811-819.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Felix Wick & Ulrich Kerzel & Martin Hahn & Moritz Wolf & Trapti Singhal & Daniel Stemmer & Jakob Ernst & Michael Feindt, 2021. "Demand Forecasting of Individual Probability Density Functions with Machine Learning," SN Operations Research Forum, Springer, vol. 2(3), pages 1-39, September.
- Jae H. Kim, 2004. "Bias-corrected bootstrap prediction regions for vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 141-154.
- Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
- Jan G. De Gooijer & Rob J. Hyndman, 2005.
"25 Years of IIF Time Series Forecasting: A Selective Review,"
Monash Econometrics and Business Statistics Working Papers
12/05, Monash University, Department of Econometrics and Business Statistics.
- Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
- Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332.
- Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332, April.
- Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004.
"Bootstrap predictive inference for ARIMA processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.
- Pascual, Lorenzo, 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97.
- Andrés Alonso & Daniel Peña & Juan Romo, 2006. "Introducing model uncertainty by moving blocks bootstrap," Statistical Papers, Springer, vol. 47(2), pages 167-179, March.
- Jing Li, 2021. "Block bootstrap prediction intervals for parsimonious first‐order vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 512-527, April.
- Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany.
- Borbély, Dóra & Meier, Carsten-Patrick, 2003. "Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy (IfW Kiel).
- Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001.
"Effects of parameter estimation on prediction densities: a bootstrap approach,"
International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
- Pascual, Lorenzo, 1999. "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS 6304, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Ahmed, Wajid Shakeel & Sheikh, Jibran & Ur-Rehman, Kashif & Shafi, khuram & Shad, Shafqat Ali & Butt, Faisal Shafique, 2020. "New continuum of stochastic static forecasting model for mutual funds at investment policy level," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
- Helmut Lütkepohl, 2013.
"Vector autoregressive models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164,
Edward Elgar Publishing.
- Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005.
"Bootstrap prediction intervals for power-transformed time series,"
International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
- Pascual, Lorenzo, 2001. "Bootstrap prediction intervals for power-transformed time series," DES - Working Papers. Statistics and Econometrics. WS ws010503, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003.
"On SETAR non-linearity and forecasting,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
- Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
More about this item
Keywords
Autoregressive processes; Bootstrap; Simultaneous prediction intervals; Bonferroni inequality; AIC;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:64:y:2004:i:3:p:421-430. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.