A time series bootstrap procedure for interpolation intervals |
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| Authors: | Andrés M Alonso Ana E Sipols |
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| Affiliation: | a Department of Statistics, Universidad Carlos III de Madrid, 28903 Getafe, Madrid, Spain
b Department of Statistics and Operational Research, Universidad Rey Juan Carlos, Spain |
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| Abstract: | A sieve bootstrap procedure for constructing interpolation intervals for a general class of linear processes is proposed. This sieve bootstrap provides consistent estimators of the conditional distribution of the missing values, given the observed data. A Monte Carlo experiment is used to show the finite sample properties of the sieve bootstrap and finally, the performance of the proposed method is illustrated with a real data example. |
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| Keywords: | Time series Interpolation intervals Sieve bootstrap |
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