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

Joseph Glaz and Nalini Ravishanker

Statistics & Probability Letters, 1991, vol. 12, issue 1, 57-63

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.

Keywords: Autoregressive; Integrated; Moving; Average; models; Bonferroni-type; inequalities; product-type; inequalities; simultaneous; confidence; interval; estimation (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (4)

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