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Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models |
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| Authors: | Ufuk Beyaztas Han Lin Shang |
| Affiliation: | aDepartment of Economics and Finance, Piri Reis University University, Istanbul, Turkey;bDepartment of Actuarial Studies and Business Analytics, Macquarie University, Sydney, Australia |
| Abstract: | |
| Keywords: | Autoregression multivariate forecast prediction interval resampling methods vector autoregression weighted likelihood |