Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.

DOI10.1016/S0167-9473(98)00038-3zbMath1042.62607OpenAlexW2023406383MaRDI QIDQ1274825

Siu Hung Cheung, Wai Sum Chan, K. H. Wu

Publication date: 12 January 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(98)00038-3

zbMATH Keywords

Simultaneous prediction intervalsAutoregressive-integrated moving-average modelsMultiple forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

Prediction intervals in the beta autoregressive moving average model ⋮ Multiple forecasts with autoregressive time series models: Case studies. ⋮ Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality

Uses Software

• AS 6
• AS 66
• AS 195
• QSIMVN

Cites Work

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• Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities
• Subset complement addition upper bounds. An improved inclusion-exclusion method
• Probability Inequalities for Multivariate Distributions with Dependence Structures
• Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
• Approximate Simultaneous Prediction Intervals for Multiple Forecasts
• An upper bound for the probability of a union
• Approximations to Multivariate Normal Rectangle Probabilities Based on Conditional Expectations