Abstract

http://ssrn.com/abstract=565101
 
 

References (17)



 
 

Citations (2)



 


 



Bootstrap Predictive Inference for ARIMA Processes


Esther Ruiz


Universidad Carlos III de Madrid - Department of Statistics and Econometrics

Lorenzo Pascual


Universidad Carlos III de Madrid

Juan Romo


Universidad Carlos III de Madrid


Journal of Time Series Analysis, Vol. 25, No. 4, pp. 449-465, July 2004

Abstract:     
In this study, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive integrated moving-average processes. Its main advantage over other bootstrap methods previously proposed for autoregressive integrated processes is that variability due to parameter estimation can be incorporated into prediction intervals without requiring the backward representation of the process. Consequently, the procedure is very flexible and can be extended to processes even if their backward representation is not available. Furthermore, its implementation is very simple. The asymptotic properties of the bootstrap prediction densities are obtained. Extensive finite-sample Monte Carlo experiments are carried out to compare the performance of the proposed strategy vs. alternative procedures. The behaviour of our proposal equals or outperforms the alternatives in most of the cases. Furthermore, our bootstrap strategy is also applied for the first time to obtain the prediction density of processes with moving-average components.

Number of Pages in PDF File: 17

Keywords: Forecasting, non-Gaussian distributions, prediction density, resampling methods, simulation

Accepted Paper Series





Date posted: August 13, 2004  

Suggested Citation

Ruiz, Esther and Pascual, Lorenzo and Romo, Juan, Bootstrap Predictive Inference for ARIMA Processes. Journal of Time Series Analysis, Vol. 25, No. 4, pp. 449-465, July 2004. Available at SSRN: http://ssrn.com/abstract=565101

Contact Information

Esther Ruiz (Contact Author)
Universidad Carlos III de Madrid - Department of Statistics and Econometrics ( email )
c/ Madrid 126
Getafe (Madrid), 28903
Spain
Lorenzo Pascual
Universidad Carlos III de Madrid
E-28903 Getafe (Madrid)
Spain
Juan Romo
Universidad Carlos III de Madrid ( email )
E-28903 Getafe (Madrid)
Spain
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