BootBC

This function returns bias-corrected parameter estimates and forecasts for univariate AR models.

Contains functions for bias-Corrected Forecasting and Bootstrap Prediction Intervals for Autoregressive Time Series.

Jae Kim

BootPR

Bootstrap Prediction Intervals and Bias-Corrected Forecasting

BootBC function

<dl> <dt>x</dt>
<dd>a time series data set</dd> <dt>p</dt>
<dd>AR order</dd> <dt>h</dt>
<dd>the number of forecast period</dd> <dt>nboot</dt>
<dd>number of bootstrap iterations</dd> <dt>type</dt>
<dd>"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend</dd> </dl>

Arguments

Author

Bootstrap bias-corrected estimation and forecasting for AR models — BootBC

<dl>

 <dt>x</dt>
<dd>a time series data set</dd>

 <dt>p</dt>
<dd>AR order</dd>

 <dt>h</dt>
<dd>the number of forecast period</dd>

 <dt>nboot</dt>
<dd>number of bootstrap iterations</dd>

 <dt>type</dt>
<dd>"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend</dd>

 </dl>

BootBC: Bootstrap bias-corrected estimation and forecasting for AR models

Description

Usage

Value

Arguments

Author

References

Examples