한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2005년도 추계 학술발표회 논문집
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- Pages.159-165
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- 2005
Forecasting interval for the INAR(p) process using sieve bootstrap
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Kim, Hee-Young
(Institute of statistics, Korea University) ;
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Park, You-Sung
(Department of Statistics, Korea University)
- 발행 : 2005.11.04
초록
Recently, as a result of the growing interest in modelling stationary processes with discrete marginal distributions, several models for integer valued time series have been proposed in the literature. One of theses models is the integer-valued autoregressive(INAR) models. However, when modelling with integer-valued autoregressive processes, there is not yet distributional properties of forecasts, since INAR process contain an accrued level of complexity in using the Steutal and Van Harn(1979) thinning operator 'o'. In this study, a manageable expression for the asymptotic mean square error of predicting more than one-step ahead from an estimated poisson INAR(1) model is derived. And, we present a bootstrap methods developed for the calculation of forecast interval limits of INAR(p) model. Extensive finite sample Monte Carlo experiments are carried out to compare the performance of the several bootstrap procedures.