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QRA: MATLAB function to compute interval forecasts using Quantile Regression Averaging (QRA)


  • Jakub Nowotarski


QRA(Y,X,TAU) returns prediction interval [TAU/2, (1-TAU/2)]*100% using Quantile Regression Averaging (QRA) for independent variable Y, i.e. the variable for which the prediction interval is to be constructed, and X is a matrix of individual point forecasts corresponding to values of Y. The prediction interval is computed for H steps ahead, where H is the difference between the lengths of X's and Y's (a positive integer).

Suggested Citation

  • Jakub Nowotarski, 2014. "QRA: MATLAB function to compute interval forecasts using Quantile Regression Averaging (QRA)," HSC Software M14003, Hugo Steinhaus Center, Wroclaw University of Technology.
  • Handle: RePEc:wuu:hscode:m14003

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