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On the consistency of sieve bootstrap prediction intervals for stationary time series

100%

Różański R., Zagdański A.

Discussiones Mathematicae Probability and Statistics

2004

tom 24

nr 1

5-40

In the article, we consider construction of prediction intervals for stationary time series using Bühlmann's [8], [9] sieve bootstrapapproach. Basic theoretical properties concerning consistency are proved. We extend the results obtained earlier by Stine [21], Masarotto and Grigoletto [13] for an autoregressive time series of finite order to the rich class of linear and invertible stationary models. Finite sample performance of the constructed intervals is investigated by computer simulations.

Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve

100%

Różański R., Zagdański A.

Applicationes Mathematicae

2006

tom 33

nr 1

21-40

A histogram sieve estimator of the drift function in Ito processes and some semimartingales is constructed. It is proved that the estimator is pointwise and L¹ consistent and its finite-dimensional distributions are asymptotically normal. Our approach extends the results of Leśkow and Różański (1989a).

Ograniczanie wyników

1 Applicationes Mathematicae

1 Discussiones Mathematicae Probability and Statistics

2 Różański R.

2 Zagdański A.

1 2006

1 2004

Wyniki wyszukiwania

On the consistency of sieve bootstrap prediction intervals for stationary time series

Estimation of the drift function for Ito processes and a class of semimartingales via histogram sieve