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

Author

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  • Glaz, Joseph
  • Ravishanker, Nalini

Abstract

New simultaneous prediction intervals for multiple forecasts from ARIMA models based on the Bonferroni-type and the product-type inequalities are introduced. These prediction intervals are compared with the marginal prediction intervals used in forecasting.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:12:y:1991:i:1:p:57-63
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    Citations

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    Cited by:

    1. John P. Nolan & Nalini Ravishanker, 2009. "Simultaneous prediction intervals for ARMA processes with stable innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 235-246.
    2. 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.
    3. 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.
    4. 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.

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