Time-simultaneous prediction band for a time series
| Autor: | Dag Kolsrud |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
Series (mathematics)
Computer science Strategy and Management Univariate Coverage probability Sample (statistics) Management Science and Operations Research Cross-validation Computer Science Applications Nominal level Distribution (mathematics) Modeling and Simulation Statistics Statistics Probability and Uncertainty Parametric statistics |
| Zdroj: | Journal of Forecasting. 26:171-188 |
| ISSN: | 1099-131X 0277-6693 |
| DOI: | 10.1002/for.1020 |
| Popis: | I propose principles and methods for the construction of a time-simultaneous prediction band for a univariate time series. The methods are entirely based on a learning sample of time trajectories, and make no parametric assumption about its distribution. Hence, the methods are general and widely applicable. The expected coverage probability of a band can be estimated by a bootstrap procedure. The estimate is likely to be less than the nominal level. Expected lack of coverage can be compensated for by increasing the coverage in the learning sample. Applications to simulated and empirical data illustrate the methods. Copyright © 2007 John Wiley & Sons, Ltd. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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