Calibrated multivariate distributions for improved conditional prediction

DOI10.1016/j.jmva.2015.08.001zbMath1327.62481OpenAlexW1178767841MaRDI QIDQ893163

Paolo Vidoni

Publication date: 13 November 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.08.001

zbMATH Keywords

time seriescoverage probabilitybootstrap calibrationprediction regionsimultaneous prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Improved multivariate prediction regions for Markov process models

Cites Work

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• Multivariate prediction
• Prediction and asymptotics
• Improved Prediction Intervals and Distribution Functions
• Calibrating Prediction Regions
• Frequentist prediction intervals and predictive distributions
• Miscellanea. A note on modified estimative prediction limits and distributions
• Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations
• On prediction intervals based on predictive likelihood or bootstrap methods
• Calibrating predictive distributions
• Adjusting estimative prediction limits

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