Prediction intervals for time series models with trend via sieve bootstrap |
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| Authors: | Grzegorz Chłapiński Roman Różański |
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| Institution: | Institute of Mathematics and Computer Science, Wroc?aw University of Technology, Wroclaw, Poland |
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| Abstract: | This paper discusses method for constructing the prediction intervals for time series model with trend using the sieve bootstrap procedure. Gasser–Müller type of kernel estimator is used for trend estimation and prediction. The boundary modification of the kernel is applied to control the edge effect and to construct the predictor of a trend. |
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| Keywords: | Sieve bootstrap Hybrid bootstrap Bootstrap-t Prediction intervals Kernel estimator Boundary kernel |
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