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EnglishThis paper deals with simultaneous prediction for time series models. In particular, it presents a simple procedure which gives well-calibrated simultaneous prediction intervals with coverage probability close to the target nominal value. Although the exact computation of the proposed intervals is usually not feasible, an approximation can be easily attained by means of a suitable bootstrap simulation procedure. This new predictive solution is much simpler to compute than those ones already proposed in the literature, based on asymptotic calculations. Applications of the bootstrap calibrated procedure to AR, MA and ARCH models are presented.
| Titolo: | A note on simultaneous calibrated prediction intervals for time series | |
| Autori: | VIDONI, Paolo (Corresponding) | |
| Data di pubblicazione: | 2020 | |
| Rivista: | ||
| Abstract: | This paper deals with simultaneous prediction for time series models. In particular, it presents a simple procedure which gives well-calibrated simultaneous prediction intervals with coverage probability close to the target nominal value. Although the exact computation of the proposed intervals is usually not feasible, an approximation can be easily attained by means of a suitable bootstrap simulation procedure. This new predictive solution is much simpler to compute than those ones already proposed in the literature, based on asymptotic calculations. Applications of the bootstrap calibrated procedure to AR, MA and ARCH models are presented. | |
| Handle: | http://hdl.handle.net/11390/1186142 | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| fonseca_etal_SMA_final.pdf | Post-print articolo. | Documento in Post-print |  | Open Access Visualizza/Apri |
| final_firstonline_30mag20.pdf | Versione Editoriale (PDF) | Non pubblico | Accesso ristretto Richiedi una copia |
http://hdl.handle.net/11390/1186142
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