Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities

DOI10.1016/0167-7152(91)90164-MMaRDI QIDQ758071zbMATH OpenFDO

Authors Joseph Glaz, Nalini Ravishanker

Publication date 1991

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Bonferroni-type inequalitiesautoregressive integrated movig average modelsmarginal prediction intervalsmultiple forecasts from ARIMA modelsproduct-type inequalitiessimultaneous confidence interval estimationsimultaneous prediction intervals

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Inference from stochastic processes and prediction (62M20) Paired and multiple comparisons; multiple testing (62J15)

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Cites work

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• Optimal second-order product probability bounds
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Cited in

(10)

• Parallel discretization of the Markov chain approximation for the autoregressive moving average chart
• A note on simultaneous calibrated prediction intervals for time series
• Time-simultaneous prediction bands: a new look at the uncertainty involved in forecasting mortality
• Quasi Most Powerful Invariant Goodness‐of‐fit Tests
• Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study.
• scientific article; zbMATH DE number 3947487 (Why is no real title available?)
• scientific article; zbMATH DE number 2135707 (Why is no real title available?)
• Simultaneous Confidence Intervals in Econometric Forecasting
• Multiple forecasts with autoregressive time series models: Case studies.
• Simultaneous prediction intervals for multiple comparisons with a standard

Describes a project that uses

Uses Software

• AS 195

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