Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets

Maria Lucia Parrella (), Giuseppina Albano (), Cira Perna and Michele La Rocca ()
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Maria Lucia Parrella: Università of Salerno
Giuseppina Albano: Università of Salerno
Michele La Rocca: Università of Salerno

Computational Statistics, 2021, vol. 36, issue 4, No 23, 2917-2938

Abstract: Abstract Missing data reconstruction is a critical step in the analysis and mining of spatio-temporal data. However, few studies comprehensively consider missing data patterns, sample selection and spatio-temporal relationships. To take into account the uncertainty in the point forecast, some prediction intervals may be of interest. In particular, for (possibly long) missing sequences of consecutive time points, joint prediction regions are desirable. In this paper we propose a bootstrap resampling scheme to construct joint prediction regions that approximately contain missing paths of a time components in a spatio-temporal framework, with global probability $$1-\alpha $$ 1 - α . In many applications, considering the coverage of the whole missing sample-path might appear too restrictive. To perceive more informative inference, we also derive smaller joint prediction regions that only contain all elements of missing paths up to a small number k of them with probability $$1-\alpha $$ 1 - α . A simulation experiment is performed to validate the empirical performance of the proposed joint bootstrap prediction and to compare it with some alternative procedures based on a simple nominal coverage correction, loosely inspired by the Bonferroni approach, which are expected to work well standard scenarios.

Keywords: Spatio-temporal models; Path missing reconstruction; Joint prediction regions (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00180-021-01099-y

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