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Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study

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  • Siu Hung Cheung
  • Ka Ho Wu
  • Wai Sum Chan

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  • Siu Hung Cheung & Ka Ho Wu & Wai Sum Chan, 1998. "Simultaneous prediction intervals for autoregressive-integrated moving-average models: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 28(3), pages 297-306, September.
    • Handle: RePEc:eee:csdana:v:28:y:1998:i:3:p:297-306
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    1. R. J. Bhansali, 1974. "Asymptotic Mean‐Square Error of Predicting More than One‐Step Ahead Using the Regression Method," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 23(1), pages 35-42, March.
    2. Mark J. Schervish, 1984. "Multivariate Normal Probabilities with Error Bound," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 33(1), pages 81-94, March.
    3. I. D. Hill, 1973. "The Normal Integral," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(3), pages 424-427, November.
    4. Michael J. Wichura, 1988. "The Percentage Points of the Normal Distribution," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 37(3), pages 477-484, November.
    5. Glaz, Joseph & Ravishanker, Nalini, 1991. "Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 57-63, July.
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    Cited by:

    1. Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.
    2. Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Time-simultaneous prediction bands: A new look at the uncertainty involved in forecasting mortality," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 81-88, July.
    3. Chan, W.S & Cheung, S.H & Wu, K.H, 2004. "Multiple forecasts with autoregressive time series models: case studies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 421-430.
    4. Ilaria Lucrezia Amerise & Agostino Tarsitano, 2020. "An L1 smoother for outlier cleaning of time series," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-3.
    5. Aye Aye Khin Author_Email: ayeaye5@yahoo.com & Zainalabidin Mohamed & Mad Nasir Shamsudin & Eddie Chiew Fook Chong, 2011. "A Comparison Of Forecasting Abilities Between Univariate Time Series And Market Model Of Natual Rubber Prices," 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding 2011-425, Conference Master Resources.

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