Predicting Random Walks and a Data-Splitting Prediction Region

Predicting Random Walks and a Data-Splitting Prediction Region

Perhaps the first nonparametric, asymptotically optimal prediction intervals are provided for univariate random walks, with applications to renewal processes. Perhaps the first nonparametric prediction regions are introduced for vector-valued random walks. This paper further derives nonparametric da...

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Bibliographic Details
Main Authors: Mulubrhan G. Haile, Lingling Zhang, David J. Olive
Format: Article
Language:English
Published: MDPI AG 2024-01-01
Series:Stats
Subjects:
conformal prediction
high dimensional data
renewal processes
shorth
Online Access:https://www.mdpi.com/2571-905X/7/1/2

Internet

https://www.mdpi.com/2571-905X/7/1/2

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