Bootstrap prediction intervals for nonlinear time-series

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 4224 LNCS, Issue , 2006, Pages 155-162

  Haraki, Daisuke ^a   Suzuki, Tomoya ^b   Ikeguchi, Tohru ^a  

^a SAITAMA UNIVERSITY   (Japan)

^b DOSHISHA UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; ERROR ANALYSIS; NONLINEAR SYSTEMS;

BOOTSTRAP RESAMPLING; NONLINEAR DYNAMICAL SYSTEMS; PREDICTION INTERVALS;

TIME SERIES ANALYSIS;

EID: 33750542720     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/11875581_19     Document Type: Conference Paper

References (14)

1. E. N. Lorenz. Atmospheric predictability as revealed by naturally occurring analogues. J. Atmospheric Sciences, Vol.26, pp.636-646, 1969.
2. M. Sano and Y. Sawada. Measurement of the lyapunov spectrum from a chaotic time series. Physical Review Letters, Vol.55, No.10, pp.1082-1085, 1985.
3. D. Harald, T. Suzuki, and T. Ikeguchi. Bootstrap Nonlinear Prediction. submitted to Physical Review E, 2005.
4. A. T. Lora, J. M. R. Santos, J. C. Riquelme, A. G. Expósito, and J. L. M. Ramos. Time-series prediction: Application to the short-term electric energy demand. Lecture Notes in Computer Science, Vol.3040, pp.577-586, 2004.
5. G. Sugihara and R. M. May. Nonlinear forecasting as a way of distinguishing chaos from measurement error in time series. Nature, Vol.344, pp. 734-741, 1990.
6. M. Grigoletto. Bootstrap prediction intervals for autoregressions: Some alternatives. International Journal of Forecasting, Vol.14, pp.447-456, 1998.
7. Yun-Huan Lee and Tsai-Hung Fan. Bootstrapping prediction intervals on stochastic volatility models. Applied Economic Letters, Vol.13, pp.41-45, 2006.
8. A. M. Alonso, D. Pẽna, and J. Romo. Introducing model uncertainty in time series bootstrap. Statistica Sinica, Vol.14, pp.155-174, 2004.
9. L. Kilian. Accounting for lag uncertainty in autoregressions: The endogenous lag order bootstrap algorithm. Journal of Time Series Analysis, Vol.19, pp.531-548, 1998.
10. T. Hurukawa and S. Sakai. Ensemble prediction. Tokyo-doh Press, 2004, in Japanese.
11. B. Efron and R. J. Tibshirani. An Introduction to the Bootstrap. Chapman and Hall, 1993.
12. J. P. Eckmann, S. O. Kamphorst, D. Ruelle, and S. Ciliberto. Lyapunov exponents from time series. Physical Review A, Vol.34, No.6, pp.4971-4979, 1986.
13. J. D. Farmer and J. J. Sidorowich. Predicting chaotic time series. Physical Review Letters, Vol.59, No.8, pp.845-848, 1987.
14. K. Ikeda. Multiple-valued stationary state and its instability of the transmitted light by a ring cavity system. Optics Communications, Vol.30, No.2, pp.257-261, 1979.