A time-simultaneous prediction box for a multivariate time series

DOI10.1002/FOR.2366MaRDI QIDQ4687564zbMATH OpenOpenAlexFDO

Authors Dag Olaf Kolsrud

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2366

zbMATH Keywords

coverage errordata depthlearning samplemultivariate prediction regionsimultaneous prediction bands

Mathematics Subject Classification ID

Multivariate analysis and fuzziness (62H86) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Prediction intervals and regions for multivariate time series models with sieve bootstrap
• Multivariate prediction
• A note on simultaneous calibrated prediction intervals for time series
• Simultaneous prediction regions
• Predictions in time series using multivariate regression models

This page was built for publication: A time-simultaneous prediction box for a multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4687564)