Simple Bootstrap Predictor Based on Unit Root Test for Autoregressive Processes

The Gaussian-based predictors for time series work reasonably well when the underlying distributional assumption holds. An alternative method is the bootstrap approach which does not assume a Gaussian error distribution. Recent work of Cai and Davies [1] presented a simple and model-free bootstrap m...

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Bibliographic Details
Main Authors: Wararit Panichkitkosolkul, Kamon Budsaba
Format: บทความวารสาร
Language:English
Published: Science Faculty of Chiang Mai University 2019
Online Access:http://it.science.cmu.ac.th/ejournal/dl.php?journal_id=8823
http://cmuir.cmu.ac.th/jspui/handle/6653943832/64052
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Institution: Chiang Mai University
Language: English

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