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Time-simultaneous prediction band for a time series


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  • Dag Kolsrud

    (Statistics Norway, Oslo, Norway)

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    I propose principles and methods for the construction of a time-simultaneous prediction band for a univariate time series. The methods are entirely based on a learning sample of time trajectories, and make no parametric assumption about its distribution. Hence, the methods are general and widely applicable. The expected coverage probability of a band can be estimated by a bootstrap procedure. The estimate is likely to be less than the nominal level. Expected lack of coverage can be compensated for by increasing the coverage in the learning sample. Applications to simulated and empirical data illustrate the methods.  Copyright © 2007 John Wiley & Sons, Ltd.

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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

    Volume (Year): 26 (2007)
    Issue (Month): 3 ()
    Pages: 171-188

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    Handle: RePEc:jof:jforec:v:26:y:2007:i:3:p:171-188

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    Cited by:
    1. Li, J.S.H. & Ng, A.C.Y. & Chan, W.S., 2013. "Stochastic life table forecasting: A time-simultaneous fan chart application," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 98-107.
    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.


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