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