Corpus ID: 235694553

Distribution-Free Prediction Bands for Multivariate Functional Time Series: an Application to the Italian Gas Market

@inproceedings{Diquigiovanni2021DistributionFreePB,
  title={Distribution-Free Prediction Bands for Multivariate Functional Time Series: an Application to the Italian Gas Market},
  author={Jacopo Diquigiovanni and Matteo Fontana and Simone Vantini},
  year={2021}
}
Uncertainty quantification in forecasting represents a topic of great importance in statistics, especially when dealing with complex data characterized by non-trivial dependence structure. Pushed by novel works concerning distribution-free prediction, we propose a scalable procedure that outputs closed-form simultaneous prediction bands for multivariate functional response variables in a time series setting, which is able to guarantee performance bounds in terms of unconditional coverage and… Expand

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