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April 20, 2016


Bootstrap Joint Prediction Regions


April 20, 2016
12:00 - 13:15


DIW Berlin
Room 2.3.001
Mohrenstraße 58
10117 Berlin


Michael Wolf, Universität Zürich

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.