Search Results - subject:"Prediction Intervals"

Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany

Borbély, Dóra; Meier, Carsten-Patrick - 2003

This paper proposes an approach for estimating the uncertainty associated with model-based macroeconomic forecasts. We argue that estimated forecast intervals should account for the uncertainty arising from selecting the specification of an empirical forecasting model from the sample data. To...

Persistent link: https://www.econbiz.de/10010265580

Kernel smoothed prediction intervals for ARMA models

Abberger, Klaus - 2002

The procedures of estimating prediction intervals for ARMA processes can be divided into model based methods and …

Persistent link: https://www.econbiz.de/10010324076

Kernel smoothed prediction intervals for ARMA models

Abberger, Klaus - 2002

The procedures of estimating prediction intervals for ARMA processes can be divided into model based methods and …

Persistent link: https://www.econbiz.de/10011544448

Exact two-sample nonparametric confidence, prediction, and tolerance intervals based on ordinary and progressively type-II right censored data

Balakrishnan, N.; Beutner, E.; Cramer, E. - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 1, pp. 68-91

Persistent link: https://www.econbiz.de/10008515572

A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods.

Hyndman, R.J.; Koehler, A.B.; Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 2000

) the computation of prediction intervals for each method; and (3) random simulation from the underlying state space model …

Persistent link: https://www.econbiz.de/10005427616

Forecasting Models and Prediction Intervals for the Multiplicative Holt-Winters Method.

Koehler, A.B.; Snyder, R.D.; Ord, J.K. - Department of Econometrics and Business Statistics, … - 1999

in the model is constant or not. While the point forecasts from the different models are identical, the prediction … intervals will, of course, depend on the structure of the error variance and so it is essential to be able to choose the most …

Persistent link: https://www.econbiz.de/10005149041

A Simple Random Walk Model for Predicting Track and Field World Records

Terpstra, Jeff; Schauer, Nicholas - In: Journal of Quantitative Analysis in Sports 3 (2007) 3, pp. 4-4

procedures are grounded in maximum likelihood principles. Monte Carlo techniques can be used to obtain prediction intervals for …

Persistent link: https://www.econbiz.de/10005585178

Precision, bias, and uncertainty for state population forecasts: an exploratory analysis of time series models

Tayman, Jeff; Smith, Stanley; Lin, Jeffrey - In: Population Research and Policy Review 26 (2007) 3, pp. 347-369

Many researchers have used time series models to construct population forecasts and prediction intervals at the … and find precision, bias, and the width of prediction intervals to vary by state, launch year, model specification, base … period, and forecast horizon. Furthermore, we find that prediction intervals based on some ARIMA models provide relatively …

Persistent link: https://www.econbiz.de/10005680820

Holt-Winters Forecasting: An Alternative Formulation Applied to UK Air Passenger Data

Bermudez, J. D.; Segura, J. V.; Vercher, E. - In: Journal of Applied Statistics 34 (2007) 9, pp. 1075-1090

This paper provides a formulation for the additive Holt-Winters forecasting procedure that simplifies both obtaining maximum likelihood estimates of all unknowns, smoothing parameters and initial conditions, and the computation of point forecasts and reliable predictive intervals. The stochastic...

Persistent link: https://www.econbiz.de/10005639675

Kernel smoothed prediction intervals for ARMA models

Abberger, Klaus - In: Statistical Papers 47 (2006) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10008533853