On sieve bootstrap prediction intervals.

In this paper we consider a sieve bootstrap method for constructing nonparametric prediction intervals for a general class of linear processes. We show that the sieve bootstrap provides consistent estimators of the conditional distribution of future values given the observed data.We would like to thank Mike Wiper for his careful reading which greatly improved the paper. This research was partially supported by the CYCIT project BEC 2000-0167 and by the Cátedra de Calidad BBVA.Publicad