J.R.M. Hosking, Nalini Ravishanker
Journal of Time Series Analysis
Paper
Simultaneous prediction intervals for multiple forecasts based on Bonferroni and product-type inequalities
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. © 1991.
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