International Science Community Association Research Journal of Recent Sciences 2277 - 2502 4 7 2015 July 2 A Sieve Bootstrap approach to constructing Prediction Intervals for Long Memory Time series 93 99 EN Mirtalebipour SayedeZaynab 1 Department of Psychology,Tonekabon Branch, Islamic Azad University, Tonekabon, IRAN Tayebeh Ferdowsi 2 University of Tehran, Tehran, IRAN Pouretemad Hamidreza 3 Shahid Beheshti University, Tehran, IRAN MaryamSadeghi Afrakati 4 Pourhamzeh Mohsen 1 Iran University of Science and Technology, Tehran, IRAN Babaei Bahman 2 Mohsen Faizi 3 Azimi SeyyedAli 1 Islamic Azad University of Central Tehran Branch, Tehran, IRAN Mir-Khalili SeyyedMahmoud 2 Department of Law, Farabi college, University of Tehran, IRAN Majid Karimian 1 Department of Mechanical Engineering, Khomeinishahr branch, Islamic Azad University-Khomeinishahr- Isfahan, IRAN Yaghoubi Yaghoub 2 Department of Material Engineering University of Tarbiat Modares, Tehran, IRAN Eftekhari Mohsen 3 Yazdanian SeyyedMansour 1 Accounting Department, Islamic Azad University-Khorasgan Branch Iran, Esfahan, IRAN Hosseini AzamSadat 2 Hachem AouraghMy 1 Department of Geo-engineering and Environmental Geology, Faculty of Sciences, Meknes, P.O. 11201 Zitoune-Meknes-50000, MOROCCO Essahlaoui Ali 2 ElOuali Abdelhadi 3 Abdellah ElHmaidi 4 Kamel Said 5 Golparvar Mohsen 1 Department of Industrial and Organizational Psychology, Esfahan (Khorasgan) Branch, Islamic Azad University, Esfahan, IRAN EsfahaniRasoul Rajezi 2 Mehdad Ali 3 KhodabakhshiParijan Khadijeh 1 DOS, B.N. Bahadur Institute of Management Sciences, Manasagangotri, University of Mysore, Mysore, Karnataka, INDIA SrinivasaRao Vattikonda 1 Department of Zoology, Entomology division, Nizam College (Autonomous), Osmania University, Hyderabad, AP, INDIA RaoAmanchi Nageswara 2 Sangam SabitaRaja 3 Masoudi Aref 1 Shahid Beheshti University, Tehran, IRAN Zamani Maryam 1 Faculty of Educational Science and Art, Tehran Art University, Tehran, IRAN Bozorgmehr Shirin 2 Tehran Art University, Tehran, IRAN Naficeh Marsousi 1 Department of Geography and Urban Planning, Payame Noor University, IRAN Pourmohammadi Mohammadreza 2 Department of Regional and Urban Planning, Tabriz University, IRAN Nasiri Esmaeel 3 Yousef Mohammadzadeh 4 SultanZadeh Hussein 1 Member of Islamic Azad University, Central Tehran Branch, IRAN BehzadBehrouzi Esfahani 2 Urban Planning, Islamic Azad University of Qazvin, IRAN R. Mohan 1 Dept of Mathematics, College of Military Engineering, Pune, 411 031, MH, INDIA PetriciaLeema Roseline 2 Department of Computer Science, Christ College, Pune, 411 014, MH, INDIA Ali Amjad 1 Department of Statistics, Islamia College University Peshawar, PAKISTAN Alamgir 2 Department of Statistics, University of Peshawar, Peshawar, PAKISTAN Umair Khalil 3 Khan SajjadAhmad 4 Khan DostMuhammad 5 > Research Article 2014 1 16 2015 July 2 This paper is concerned with the construction of bootstrap prediction intervals for autoregressive fractionally integrated moving-average processes which is a special class of long memory time series. For linear short-range dependent time series, the bootstrap based prediction interval is a good nonparametric alternative to those constructed under parameter assumptions. In the long memory case, we use the AR-sieve bootstrap which approximates the data generating process of a given long memory time series by a finite order autoregressive process and resamples the residuals. A simulation study is conducted to examine the performance of the AR-sieve bootstrap procedure. For the purpose of illustration a real data example is also presented. Copyright@ International Science Community Association