In the article, we consider construction of prediction intervals for stationary time series using Bühlmann's [8], [9] sieve bootstrapapproach. Basic theoretical properties concerning consistency are proved. We extend the results obtained earlier by Stine [21], Masarotto and Grigoletto [13] for an autoregressive time series of finite order to the rich class of linear and invertible stationary models. Finite sample performance of the constructed intervals is investigated by computer simulations.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1044,
author = {Roman R\'o\.za\'nski and Adam Zagda\'nski},
title = {On the consistency of sieve bootstrap prediction intervals for stationary time series},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {24},
year = {2004},
pages = {5-40},
zbl = {1063.62129},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1044}
}
Roman Różański; Adam Zagdański. On the consistency of sieve bootstrap prediction intervals for stationary time series. Discussiones Mathematicae Probability and Statistics, Tome 24 (2004) pp. 5-40. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1044/
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