BootPI: Bootstrap prediction intevals and point forecasts with no...

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

Bootstrap prediction intevals and point forecasts with no bias-correction

Description

This function returns bootstrap forecasts and prediction intervals with no bias-correction

Usage

BootPI(x, p, h, nboot, prob, type)

Arguments

x	a time series data set
p	AR order
h	the number of forecast periods
nboot	number of bootstrap iterations
prob	a vector of probabilities
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

PI	prediction intervals
forecast	bias-corrected point forecasts

Author(s)

Jae H. Kim

References

Thombs, L. A., & Schucany, W. R. (1990). Bootstrap prediction intervals for autoregression. Journal of the American Statistical Association, 85, 486-492.

Examples

data(IPdata)
BootPI(IPdata,p=1,h=10,nboot=100,prob=c(0.05,0.95),type="const+trend")

BootPR documentation built on Aug. 31, 2023, 9:08 a.m.