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

Joseph Glaz; Nalini Ravishanker

doi:10.1016/0167-7152(91)90164-M

Statistics and Probability Letters

Paper

01 Jan 1991

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

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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.

Paper