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Forecast Uncertainty and Monte Carlo Simulation

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Author Info
Sam Sugiyama
Abstract

Sam Sugiyama has written a primer on the use of Monte Carlo Simulation to assess forecast error. His simple illustrative example and description of the steps in the MCS procedure provide a non-technical overview of this fascinating approach to the evaluation of uncertainty in forecasts. For regression modelers specifically, Sam shows how MCS can be used to develop more realistic prediction intervals than the theoretical PIs found in books and software. Copyright International Institute of Forecasters, 2007

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Publisher Info
Article provided by International Institute of Forecasters in its journal Foresight: The International Journal of Applied Forecasting.

Volume (Year): (2007)
Issue (Month): 6 (Spring)
Pages: 29-37
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Handle: RePEc:for:ijafaa:y:2007:i:6:p:29-37

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This page was last updated on 2008-10-4.

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