A0734
Title: Simultaneous prediction intervals for high-dimensional vector autoregressive model
Authors: Sayar Karmakar - University of Florida (United States)
Mengyu Xu - University of Central Florida (United States) [presenting]
Jayanta Kapat - University of Central Florida (United States)
Abstract: The simultaneous prediction intervals for high-dimensional vector autoregressive model are studied. We consider a de-biased calibration for the lasso prediction and propose a Gaussian-multiplier bootstrap based method for one-step ahead prediction. The asymptotic coverage consistency of the prediction interval is obtained. We also develop simulation result to evaluate the finite sample performance of the procedure.
