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.Autoregressive Integrated Moving Average models Bonferroni-type inequalities product-type inequalities simultaneous confidence interval estimation