Journal article
Authors list: Staszewska-Bystrova, A; Winker, P
Publication year: 2016
Pages: 89-98
Journal: Statistical Papers
Volume number: 57
Issue number: 1
ISSN: 0932-5026
eISSN: 1613-9798
DOI Link: https://doi.org/10.1007/s00362-014-0643-1
Publisher: Springer
Abstract:
Improved implementations of previously suggested methods for constructing bootstrap prediction intervals for the self-exciting threshold autoregressive model are presented. The simulation results are compared with those reported by Li (2011). It is found that better estimates of actual coverage rates are obtained using the improved version of the methods.
Citation Styles
Harvard Citation style: Staszewska-Bystrova, A. and Winker, P. (2016) Improved bootstrap prediction intervals for SETAR models, Statistical Papers, 57(1), pp. 89-98. https://doi.org/10.1007/s00362-014-0643-1
APA Citation style: Staszewska-Bystrova, A., & Winker, P. (2016). Improved bootstrap prediction intervals for SETAR models. Statistical Papers. 57(1), 89-98. https://doi.org/10.1007/s00362-014-0643-1
