A justification of conditional confidence intervals

DOI10.1214/21-EJS1833zbMath1475.62234arXiv1710.00643OpenAlexW3157941611MaRDI QIDQ2044389

Alexander Heinemann, Stephan Smeekes, Eric Beutner

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.00643

zbMATH Keywords

predictionparameter uncertaintymergingsample-splittingconditional confidence intervals

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (4)

A residual bootstrap for conditional value-at-risk ⋮ Bootstrap consistency for the Mack bootstrap ⋮ Lasso Inference for High-Dimensional Time Series ⋮ Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models

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