A note on simultaneous calibrated prediction intervals for time series

DOI10.1007/S10260-020-00526-6MaRDI QIDQ2665009zbMATH OpenOpenAlexFDO

Authors Giovanni Fonseca, Paolo Vidoni, Federica Giummolè

Publication date 18 November 2021

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-020-00526-6

zbMATH Keywords

bootstrapcoverage probabilityMonte Carlo simulationprediction regionsimultaneous prediction intervalstime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

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Cites work

• Bootstrap Joint Prediction Regions
• Bootstrap prediction intervals for autoregressive time series
• Calibrating Prediction Regions
• Calibrating predictive distributions
• Improved prediction intervals for stochastic process models
• Improved prediction limits for a general class of Gaussian models
• Improved Prediction Limits For AR(p) and ARCH(p) Processes
• Multivariate prediction
• On prediction intervals based on predictive likelihood or bootstrap methods
• On the exact distribution of the maximum of absolutely continuous dependent random variables
• Prediction and asymptotics
• Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations

Cited in

(6)

• Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.
• Multiple forecasts with autoregressive time series models: Case studies.
• A note on prediction and interpolation errors in time series
• scientific article; zbMATH DE number 2135707 (Why is no real title available?)
• A time-simultaneous prediction box for a multivariate time series
• Optimal prediction for quantiles and probabilities

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