Publication: Bootstrap joint prediction regions
Bootstrap joint prediction regions
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Wolf, M., & Wunderli, D. (2013). Bootstrap joint prediction regions (No. 64; Working Paper Series / Department of Economics).
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Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootst
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Wolf, M., & Wunderli, D. (2013). Bootstrap joint prediction regions (No. 64; Working Paper Series / Department of Economics).
