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