Bootstrap prediction intervals for Markov processes
نویسندگان
چکیده
منابع مشابه
Bootstrap prediction intervals for Markov processes
Given time series data X1, . . . , Xn, the problem of optimal prediction of Xn+1 has been well-studied. The same is not true, however, as regards the problem of constructing a prediction interval with prespecified coverage probability for Xn+1, i.e., turning the point predictor into an interval predictor. In the past, prediction intervals have mainly been constructed for time series that obey a...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2016
ISSN: 0167-9473
DOI: 10.1016/j.csda.2015.05.010