A note on simultaneous calibrated prediction intervals for time series

DOI10.1007/s10260-020-00526-6zbMath1478.62252OpenAlexW3031357806MaRDI QIDQ2665009

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

bootstraptime seriesMonte Carlo simulationcoverage probabilityprediction regionsimultaneous prediction intervals

Mathematics Subject Classification ID

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

Cites Work

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