Empirical prediction intervals revisited

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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.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2014-04
Language
English
Article Type
Article
Keywords

TIME-SERIES; QUANTILE REGRESSION; FORECASTS; UNCERTAINTY; MODELS; TESTS

Citation

INTERNATIONAL JOURNAL OF FORECASTING, v.30, no.2, pp.217 - 234

ISSN
0169-2070
DOI
10.1016/j.ijforecast.2013.07.018
URI
http://hdl.handle.net/10203/187256
Appears in Collection
MT-Journal Papers(저널논문)
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