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Jmasm10: A Fortran Routine For Sieve Bootstrap Prediction Intervals, Andrés M. Alonso
Jmasm10: A Fortran Routine For Sieve Bootstrap Prediction Intervals, Andrés M. Alonso
Journal of Modern Applied Statistical Methods
A Fortran routine for constructing nonparametric prediction intervals for a general class of linear processes is described. The approach uses the sieve bootstrap procedure of Bühlmann (1997) based on residual resampling from an autoregressive approximation to the given process.