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Calculating Interval Forecasts

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Author Info
Chatfield, Chris
Abstract

Several general approaches to calculating interval forecasts are described and compared. They include the use of theoretical formulae based on a fitted probability model, various "approximate" formulae (which should be avoided), and empirically-based, simulation, and resampling procedures. Some gener al comments are made as to why prediction intervals tend to be too narr ow in practice to encompass the required proportion of future observations. An example demonstrates the overriding importance of careful model specification.

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 11 (1993)
Issue (Month): 2 (April)
Pages: 121-35
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Handle: RePEc:bes:jnlbes:v:11:y:1993:i:2:p:121-35

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