A justification of conditional confidence intervals

DOI10.1214/21-EJS1833MaRDI QIDQ2044389zbMATH OpenOpenAlexFDO

Authors Alexander Heinemann, Stephan Smeekes, Eric Beutner

Publication date 9 August 2021

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1710.00643

zbMATH Keywords

conditional confidence intervalsmergingparameter uncertaintypredictionsample-splitting

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Nonparametric tolerance and confidence regions (62G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Abstract: To quantify uncertainty around point estimates of conditional objects such as conditional means or variances, parameter uncertainty has to be taken into account. Attempts to incorporate parameter uncertainty are typically based on the unrealistic assumption of observing two independent processes, where one is used for parameter estimation, and the other for conditioning upon. Such unrealistic foundation raises the question whether these intervals are theoretically justified in a realistic setting. This paper presents an asymptotic justification for this type of intervals that does not require such an unrealistic assumption, but relies on a sample-split approach instead. By showing that our sample-split intervals coincide asymptotically with the standard intervals, we provide a novel, and realistic, justification for confidence intervals of conditional objects. The analysis is carried out for a rich class of time series models.

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