{"id":"https://openalex.org/W2096587525","doi":"https://doi.org/10.1007/978-3-7908-2604-3_11","title":"Bootstrap Prediction in Unobserved Component Models","display_name":"Bootstrap Prediction in Unobserved Component Models","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2096587525","doi":"https://doi.org/10.1007/978-3-7908-2604-3_11","mag":"2096587525"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-7908-2604-3_11","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7908-2604-3_11","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of COMPSTAT'2010","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074754230","display_name":"Alejandro Rodr\u00edguez","orcid":"https://orcid.org/0000-0003-0700-1308"},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Alejandro F. Rodr\u00edguez","raw_affiliation_strings":["Departamento de Esta\u00edstica, Universidad Carlos III de Madrid, 28903, Getafe (Madrid), Spain"],"affiliations":[{"raw_affiliation_string":"Departamento de Esta\u00edstica, Universidad Carlos III de Madrid, 28903, Getafe (Madrid), Spain","institution_ids":["https://openalex.org/I50357001"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5036810244","display_name":"Esther Ruiz","orcid":"https://orcid.org/0000-0002-5944-9449"},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Esther Ruiz","raw_affiliation_strings":["Departamento de Esta\u00edstica, Universidad Carlos III de Madrid, 28903, Getafe (Madrid), Spain"],"affiliations":[{"raw_affiliation_string":"Departamento de Esta\u00edstica, Universidad Carlos III de Madrid, 28903, Getafe (Madrid), Spain","institution_ids":["https://openalex.org/I50357001"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5074754230"],"corresponding_institution_ids":["https://openalex.org/I50357001"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.10214552,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"123","last_page":"131"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9505000114440918,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.945900022983551,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.634263277053833},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6068500280380249},{"id":"https://openalex.org/keywords/prediction-interval","display_name":"Prediction interval","score":0.5809566974639893},{"id":"https://openalex.org/keywords/state-space-representation","display_name":"State-space representation","score":0.5244122743606567},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5015673637390137},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.5002374649047852},{"id":"https://openalex.org/keywords/component","display_name":"Component (thermodynamics)","score":0.48935598134994507},{"id":"https://openalex.org/keywords/mean-squared-prediction-error","display_name":"Mean squared prediction error","score":0.46142441034317017},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.4447237253189087},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.439456045627594},{"id":"https://openalex.org/keywords/mean-squared-error","display_name":"Mean squared error","score":0.4313514232635498},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.341124951839447},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.16262120008468628},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.09974682331085205}],"concepts":[{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.634263277053833},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6068500280380249},{"id":"https://openalex.org/C103402496","wikidata":"https://www.wikidata.org/wiki/Q1106171","display_name":"Prediction interval","level":2,"score":0.5809566974639893},{"id":"https://openalex.org/C52918065","wikidata":"https://www.wikidata.org/wiki/Q230945","display_name":"State-space representation","level":2,"score":0.5244122743606567},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5015673637390137},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5002374649047852},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.48935598134994507},{"id":"https://openalex.org/C167085575","wikidata":"https://www.wikidata.org/wiki/Q6803654","display_name":"Mean squared prediction error","level":2,"score":0.46142441034317017},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.4447237253189087},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.439456045627594},{"id":"https://openalex.org/C139945424","wikidata":"https://www.wikidata.org/wiki/Q1940696","display_name":"Mean squared error","level":2,"score":0.4313514232635498},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.341124951839447},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.16262120008468628},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.09974682331085205},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-7908-2604-3_11","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-7908-2604-3_11","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of COMPSTAT'2010","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1507378142","https://openalex.org/W1991793715","https://openalex.org/W1996621776","https://openalex.org/W2025555763","https://openalex.org/W2030111109","https://openalex.org/W2043526380","https://openalex.org/W2044541714","https://openalex.org/W2049717013","https://openalex.org/W2153155589","https://openalex.org/W2280053103","https://openalex.org/W2571446175","https://openalex.org/W3121595883","https://openalex.org/W3121882338","https://openalex.org/W3124033197","https://openalex.org/W3125096521","https://openalex.org/W3125411422","https://openalex.org/W4231057675","https://openalex.org/W4307492541"],"related_works":["https://openalex.org/W2392478223","https://openalex.org/W2131639914","https://openalex.org/W4253883008","https://openalex.org/W2364002640","https://openalex.org/W2970132737","https://openalex.org/W2240644401","https://openalex.org/W2621951291","https://openalex.org/W1982554093","https://openalex.org/W4319441652","https://openalex.org/W4295442786"],"abstract_inverted_index":{"One":[0],"advantage":[1],"of":[2,11,17,20,72,81,95,103,132,138],"state":[3],"space":[4],"models":[5],"is":[6],"that":[7,84],"they":[8,52],"deliver":[9],"estimates":[10,49],"the":[12,21,39,43,56,70,73,96,104,117,133,139],"unobserved":[13,74,105,140],"components":[14],"and":[15,24,76,88,137],"predictions":[16],"future":[18,82],"values":[19],"observed":[22],"series":[23],"their":[25],"corresponding":[26],"Prediction":[27],"Mean":[28],"Squared":[29],"Errors":[30],"(PMSE).":[31],"However,":[32],"these":[33],"PMSE":[34],"are":[35,126],"obtained":[36,112],"by":[37,47,128],"running":[38],"Kalman":[40],"filter":[41],"with":[42,113],"true":[44],"parameters":[45],"substituted":[46],"consistent":[48],"and,":[50],"consequently,":[51],"do":[53,89],"not":[54,90],"incorporate":[55,85],"uncertainty":[57,87],"due":[58],"to":[59,68,77],"parameter":[60,86],"estimation.":[61],"This":[62],"paper":[63],"reviews":[64],"new":[65,100],"bootstrap":[66,101],"procedures":[67],"estimate":[69],"PMSEs":[71,102],"states":[75,106],"construct":[78],"prediction":[79,118,130],"intervals":[80,119,131],"observations":[83],"rely":[91],"on":[92],"particular":[93],"assumptions":[94],"error":[97],"distribution.":[98],"The":[99,124],"have":[107,120],"smaller":[108],"biases":[109],"than":[110],"those":[111],"alternative":[114],"procedures.":[115],"Furthermore,":[116],"better":[121],"coverage":[122],"properties.":[123],"results":[125],"illustrate":[127],"obtaining":[129],"quarterly":[134],"mortgages":[135],"changes":[136],"output":[141],"gap":[142],"in":[143],"USA.":[144]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}