论文信息 - Improved bootstrap prediction intervals for SETAR models

Improved bootstrap prediction intervals for SETAR models

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.

Anna Staszewska-Bystrova | Peter Winker

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