Search

In this study, an ordered non-overlapping block bootstrap procedure has been proposed to obtain multi-step forecast regions for unrestricted vector autoregressive models. The proposed method is not based on either backward or forward representations, so it can be implemented to VARMA or VAR-GARCH models. Also, it is computationally more efficient than the existing techniques. Its finite sample performance is investigated by Monte Carlo experiments and two-real world examples. Our findings show that the proposed method is a good alternative to the available resampling methods and produces better results for long-term forecasting when the model is near non-stationary or near-cointegrated.

Quantification of the soil physicochemical properties is one of the essential process in the field of soil geo-science. In the current research, three types of machine learning (ML) models including support vector machine (SVM), random forest (RF), and gradient boosted decision tree (GBDT) were developed for Total Dissolved Salt (TDS) prediction over several locations in Iraq region. Various physicochemical soil properties were used as predictors for the TDS prediction. Four modeling scenarios are constructed based on the types of the associated soil input variables properties. The applied ML models were analyzed and discussed based on several statistical measures and graphical presentations. Based on the correlation analysis; Gypsum concentration, Sulfur trioxide ( $SO_{3}$ ), Chloride (Cl), and organic matter (OR) were the essential soil properties for the TDS concentration influence. The prediction results indicated that incorporating all the types of input variables including chemical, soil consistency limits, and soil sieve analysis attained the best prediction process. In quantitative terms, the SVM model attained the maximum coefficient of determination ( $R^{2}=0.849$ ) and minimum root mean square error (RMSE=3.882). Overall, the development of the ML models for the TDS of soil prediction provided a robust and reliable methodology that contributes to the soil geoscience field.

In this study, we propose sufficient time series bootstrap methods that achieve better results than conventional non-overlapping block bootstrap, but with less computing time and lower standard errors of estimation. Also, we propose using a new technique using ordered bootstrapped blocks, to better preserve the dependency structure of the original data. The performance of the proposed methods are compared in a simulation study for MA(2) and AR(2) processes and in an example. The results show that our methods are good competitors that often exhibit improved performance over the conventional block methods.

In this paper, we propose a new bootstrap algorithm to obtain prediction intervals for generalized autoregressive conditionally heteroscedastic (GARCH(1,1)) process which can be applied to construct prediction intervals for future returns and volatilities. The advantages of the proposed method are twofold: it (a) often exhibits improved performance and (b) is computationally more efficient compared to other available resampling methods. The superiority of this method over the other resampling method-based prediction intervals is explained with Spearman’s rank correlation coefficient. The finite sample properties of the proposed method are also illustrated by an extensive simulation study and a real-world example.

In this study, we propose an approach based on the residual-based bootstrap method to obtain valid prediction intervals using monthly, short-term (three-months) and mid-term (six-months) drought observations. The effects of North Atlantic and Arctic Oscillation indexes on the constructed prediction intervals are also examined. Performance of the proposed approach is evaluated for the Palmer Drought Severity Index (PDSI) obtained from Konya closed basin located in Central Anatolia, Turkey. The finite sample properties of the proposed method are further illustrated by an extensive simulation study. Our results revealed that the proposed approach is capable of producing valid prediction intervals for future PDSI values. (C) 2018 Elsevier B.V. All rights reserved.