Open Conference Systems, 50th Scientific meeting of the Italian Statistical Society

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Simultaneous calibrated prediction intervals for time series
Giovanni Fonseca, Federica Giummolè, Paolo Vidoni

Last modified: 2018-05-18


This paper deals with simultaneous prediction for time series models. In
particular, it presents a simple procedure which gives well-calibrated simultaneous
predictive intervals with coverage probability equal or close to the target nominal
value. Although the exact computation of the proposed intervals is usually not feasi-
ble, an approximation can be easily obtained by means of a suitable bootstrap sim-
ulation procedure. This new predictive solution is much simpler to compute than
those ones already proposed in the literature based on asymptotic calculations. An
application of the bootstrap calibrated procedure to first order autoregressive models
is presented.


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