Konu "Resampling Methods" için İktisadi ve İdari Bilimler Fakültesi listeleme
Toplam kayıt 2, listelenen: 1-2
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Block Bootstrap Prediction Intervals For Garch Processes
(Inst Nacional Estatistica-Ine, 2020)In this paper, we propose a new resampling algorithm based on block bootstrap to obtain prediction intervals for future returns and volatilities of GARCH processes. The finite sample properties of the proposed methods are ... -
Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models
(Taylor and Francis Ltd., 2020)The bootstrap procedure has emerged as a general framework to construct prediction intervals for future observations in autoregressive time series models. Such models with outlying data points are standard in real data ...