Constructing narrowest pathwise bootstrap prediction bands using threshold accepting

Typically, prediction bands for path-forecasts are constructed pointwise, while inference relates to the whole forecasted path. In general, no closed form analytical solution is available for pathwise bands in finite samples. We consider a direct construction approach based on bootstrapped predictio...

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Veröffentlicht in:	International journal of forecasting 2013-04, Vol.29 (2), p.221-233
Hauptverfasser:	Staszewska-Bystrova, Anna, Winker, Peter
Format:	Artikel
Sprache:	eng
Schlagworte:	Bootstrap method Bootstrapping Economic forecasting Forecast path Heuristic Mathematical problems Optimization Prediction bands Studies Threshold accepting Vector autoregressive models
Online-Zugang:	Volltext
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