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A single-index model procedure for interpolation intervals in time series

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  • Andrés Alonso
  • Ana Sipols
  • Silvia Quintas

Abstract

In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of the proposed method with a real data example. Copyright Springer-Verlag 2013

Suggested Citation

  • Andrés Alonso & Ana Sipols & Silvia Quintas, 2013. "A single-index model procedure for interpolation intervals in time series," Computational Statistics, Springer, vol. 28(4), pages 1463-1484, August.
    • Handle: RePEc:spr:compst:v:28:y:2013:i:4:p:1463-1484
    DOI: 10.1007/s00180-012-0355-8
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    References listed on IDEAS

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