On sieve bootstrap prediction intervals

Andrés M. Alonso, Daniel Peña and Juan Romo

Statistics & Probability Letters, 2003, vol. 65, issue 1, 13-20

Abstract: In this paper we consider a sieve bootstrap method for constructing nonparametric prediction intervals for a general class of linear processes. We show that the sieve bootstrap provides consistent estimators of the conditional distribution of future values given the observed data.

Keywords: Sieve; bootstrap; Prediction; intervals; Linear; processes (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (11)

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