1,721,216 research outputs found
Prediction Intervals for FARIMA Processes by Bootstrap Methods
No full textIn this paper we introduce a procedure to compute prediction intervals for FARIMA (p,d,q) processes, taking into account the variability due to model identification and parameter estimation. To this aim, a particular bootstrap technique is developed. The performance of the prediction intervals is then assessed and compared to that of standard bootstrap percentile intervals. The methods are applied to the time series of Nile River annual minima
Forecasting integer autoregressive process of order 1: Analyzing whether INAR models are really better than AR
No full textBootstrap approaches for estimation and condence intervals of long memory processes.
Full text linkIn this work we investigate an alternative bootstrap approach based on a result of Ramsey (1974) and on the Durbin-Levinson algorithm to obtain surrogate series from linear Gaussian processes with long range dependence. We compare this bootstrap method with other existing procedures in a wide Monte Carlo experiment by estimating, parametrically and semiparametrically, the memory parameter d. We consider Gaussian and non-Gaussian processes to prove the robustness of the method to deviations from Normality. The approach is useful also to estimate condence intervals for the memory parameter d by improving the coverage level of the interval
Estimation of INAR(p) models using bootstrap
Full text linkIn this work we propose a bootstrap methodology to estimate the unknown
parameters of INAR(p) processes. Some finite sample Monte Carlo experiments are
carried out to valuate the performance of bootstrap estimator
Forecasting long-memory processes
No full textDipartimento di Statistica, Universita' Ca' Foscari di Venezi
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