Long‐term prediction intervals with many covariates

Author:

Karmakar Sayar1ORCID,Chudý Marek2,Biao Wu Wei3

Affiliation:

1. Department of Statistics University of Florida Gainesville FL USA

2. Department of Statistics and Operations Research University of Vienna Vienna Austria

3. Department of Statistics University of Chicago Chicago IL USA

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference46 articles.

1. On the comparison of interval forecasts;Askanazi R;Journal of Time Series Analysis,2018

2. Risks for the long run: estimation with time aggregation;Bansal R;Journal of Monetary Economics,2016

3. On the number of exits across the boundary of a region by a vector stochastic process;Belyaev YK;Theory of Probability and Its Applications,1968

4. Simultaneous analysis of lasso and Dantzig selector;Bickel PJ;The Annals of Statistics,2009

5. Spot and derivative pricing in the EEX power market;Bierbauer M;Journal of Banking & Finance,2007

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