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 data-splitting prediction regions, which are underpinned by very simple theory. Some of the prediction …