DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Yun Shin | ko |
dc.contributor.author | Scholtes, Stefan | ko |
dc.date.accessioned | 2014-08-27 | - |
dc.date.available | 2014-08-27 | - |
dc.date.created | 2014-01-09 | - |
dc.date.created | 2014-01-09 | - |
dc.date.issued | 2014-04 | - |
dc.identifier.citation | INTERNATIONAL JOURNAL OF FORECASTING, v.30, no.2, pp.217 - 234 | - |
dc.identifier.issn | 0169-2070 | - |
dc.identifier.uri | http://hdl.handle.net/10203/187256 | - |
dc.description.abstract | Empirical prediction intervals are constructed based on the distribution of previous out-of-sample forecast errors. Given historical data, a sample of such forecast errors is generated by successively applying a chosen point forecasting model to a sequence of fixed windows of past observations and recording the associated deviations of the model predictions from the actual observations out-of-sample. The suitable quantiles of the distribution of these forecast errors are then used along with the point forecast made by the selected model to construct an empirical prediction interval. This paper re-examines the properties of the empirical prediction interval. Specifically, we provide conditions for its asymptotic validity, evaluate its small sample performance and discuss its limitations. (C) 2013 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | TIME-SERIES | - |
dc.subject | QUANTILE REGRESSION | - |
dc.subject | FORECASTS | - |
dc.subject | UNCERTAINTY | - |
dc.subject | MODELS | - |
dc.subject | TESTS | - |
dc.title | Empirical prediction intervals revisited | - |
dc.type | Article | - |
dc.identifier.wosid | 000334089700004 | - |
dc.identifier.scopusid | 2-s2.0-84890055835 | - |
dc.type.rims | ART | - |
dc.citation.volume | 30 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 217 | - |
dc.citation.endingpage | 234 | - |
dc.citation.publicationname | INTERNATIONAL JOURNAL OF FORECASTING | - |
dc.identifier.doi | 10.1016/j.ijforecast.2013.07.018 | - |
dc.embargo.liftdate | 9999-12-31 | - |
dc.embargo.terms | 9999-12-31 | - |
dc.contributor.localauthor | Lee, Yun Shin | - |
dc.contributor.nonIdAuthor | Scholtes, Stefan | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Interval forecasting | - |
dc.subject.keywordAuthor | Probabilistic forecasting | - |
dc.subject.keywordAuthor | Out-of-sample forecast error | - |
dc.subject.keywordAuthor | Model uncertainty | - |
dc.subject.keywordAuthor | Non-Gaussian distribution | - |
dc.subject.keywordPlus | TIME-SERIES | - |
dc.subject.keywordPlus | QUANTILE REGRESSION | - |
dc.subject.keywordPlus | FORECASTS | - |
dc.subject.keywordPlus | UNCERTAINTY | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | TESTS | - |
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