Long‐term prediction intervals with many covariates

DOI10.1111/jtsa.12629OpenAlexW3207901633MaRDI QIDQ5095826

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Publication date: 11 August 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.08223

zbMATH Keywords

bootstrapheavy-tailed distributionlong-range dependenceforecastingelectricity pricestime-aggregation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

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