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Interval, Quantile and Density Forecasts

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  • Mihail Yanchev

    (Sofia University St Kliment Ohridski, Bulgaria)

Abstract

This text is a detailed review of the academic literature on interval, quantile, and density forecasting. Confidence and prediction intervals and different approaches to their estimation are discussed. The concept of quantile regression is examined as a standalone method as well as an initial step to generating density forecasts. Various methods for generation and evaluation of density forecasts and some noteworthy applications are considered.

Suggested Citation

  • Mihail Yanchev, 2025. "Interval, Quantile and Density Forecasts," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 1, pages 109-129, March.
    • Handle: RePEc:nwe:eajour:y:2025:i:1:p:109-129
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    References listed on IDEAS

    as
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    JEL classification:

    • B40 - Schools of Economic Thought and Methodology - - Economic Methodology - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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