JMASM10: A Fortran Routine For Sieve Bootstrap Prediction Intervals
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May 1, 2004
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Andrés M. Alonso
Department of Mathematics, Universidad Autónoma de Madrid
Abstract
A Fortran routine for constructing nonparametric prediction intervals for a general class of linear processes is described. The approach uses the sieve bootstrap procedure of Bühlmann (1997) based on residual resampling from an autoregressive approximation to the given process.
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