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stat.ME2023
Multi-step ahead prediction intervals for non-parametric autoregressions via bootstrap: consistency, debiasing and pertinence
Dimitris N. Politis, Kejin Wu
To address the difficult problem of multi-step ahead prediction of non-parametric autoregressions, we consider a forward bootstrap approach. Employing a local constant estimator, w…
stat.ME2023★ 1 cited
Bootstrap Prediction Inference of Non-linear Autoregressive Models
Kejin Wu, Dimitris N. Politis
The non-linear autoregressive (NLAR) model plays an important role in modeling and predicting time series. One-step ahead prediction is straightforward using the NLAR model, but th…