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PRODID:https://www.diw.de/de/diw_01.c.806339.de/veranstaltungen.html
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UID:diw_01.c.524356.en
LOCATION:Ferdinand-Friedensburg-Raum,DIW Berlin,2.3.001,Anton-Wilhelm-Amo-Straße 58,10117 Berlin
SUMMARY:Bootstrap Joint Prediction Regions
DESCRIPTION:12:00 - 13:15 // 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 bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a  mild high-level assumption. We compare the finite-sample performance of our joint prediction regions with some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.  You can find a published version of the paper here.
DTSTART;VALUE=DATE:20160420
DTEND;VALUE=DATE:20160420
DTSTAMP:20160107T230000Z
URL:https://www.diw.de/en/diw_01.c.524356.en/events/bootstrap_joint_prediction_regions.html
ORGANIZER;CN=Niels Aka:mailto:naka@diw.de
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