A single-index model procedure for interpolation intervals in time series

  • Authors:

  • Andrés M. Alonso;Ana E. Sipols;Silvia Quintas

  • Affiliations:

  • Department of Statistics and Institute Flores de Lemus, Universidad Carlos III de Madrid, Getafe, Madrid, Spain 28903;Department of Statistics and Operational Research, Universidad Rey Juan Carlos, Móstoles, Madrid, Spain 28933;Department of Statistics and Operational Research, Universidad Rey Juan Carlos, Móstoles, Madrid, Spain 28933

  • Venue:
  • Computational Statistics
  • Year:
  • 2013

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Abstract

In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of the proposed method with a real data example.