An inappropriate prediction interval
In: International journal of forecasting, Band 6, Heft 4, S. 557-558
ISSN: 0169-2070
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In: International journal of forecasting, Band 6, Heft 4, S. 557-558
ISSN: 0169-2070
In: International journal of forecasting, Band 30, Heft 2, S. 217-234
ISSN: 0169-2070
In: International journal of forecasting, Band 6, Heft 2, S. 229-239
ISSN: 0169-2070
Prediction intervals in state space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, with the true parameters substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the uncertainty caused by parameter estimation. Second, the Gaussianity of future innovations assumption may be inaccurate. To overcome these drawbacks, Wall and Stoffer [Journal of Time Series Analysis (2002) Vol. 23, pp. 733 751] propose a bootstrap procedure for evaluating conditional forecast errors that requires the backward representation of the model. Obtaining this representation increases the complexity of the procedure and limits its implementation to models for which it exists. In this article, we propose a bootstrap procedure for constructing prediction intervals directly for the observations, which does not need the backward representation of the model. Consequently, its application is much simpler, without losing the good behaviour of bootstrap prediction intervals. We study its finite sample properties and compare them with those of the standard and the Wall and Stoffer procedures for the local level model. Finally, we illustrate the results by implementing the new procedure to obtain prediction intervals for future values of a real time series. ; Financial support from Project SEJ2006-03919 by the Spanish Government is gratefully acknowledged ; Publicado
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In: Advances in decision sciences, Band 22, Heft 1, S. 308-320
ISSN: 2090-3367
In: International journal of forecasting, Band 27, Heft 2, S. 320-332
ISSN: 0169-2070
In: International journal of forecasting, Band 21, Heft 2, S. 237-248
ISSN: 0169-2070
In: International journal of forecasting, Band 7, Heft 1, S. 31-37
ISSN: 0169-2070
In: International journal of forecasting, Band 17, Heft 2, S. 247-267
ISSN: 0169-2070
In: International journal of forecasting, Band 36, Heft 1, S. 178-185
ISSN: 0169-2070
In: Statistical papers, Band 47, Heft 1, S. 1-15
ISSN: 1613-9798
In: International journal of forecasting, Band 14, Heft 4, S. 447-456
ISSN: 0169-2070
In: Statistical papers, Band 57, Heft 1, S. 89-98
ISSN: 1613-9798
In: Population: revue bimestrielle de l'Institut National d'Etudes Démographiques. French edition, Band 41, Heft 2, S. 397
ISSN: 0718-6568, 1957-7966