Calculating Interval Forecasts

@article{Chatfield1993CalculatingIF,
  title={Calculating Interval Forecasts},
  author={Chris Chatfield},
  journal={Journal of Business \& Economic Statistics},
  year={1993},
  volume={11},
  pages={121-135}
}
  • C. Chatfield
  • Published 1 April 1993
  • Environmental Science
  • Journal of Business & Economic Statistics
The importance of interval forecasts is reviewed. Several general approaches to calculating such forecasts are described and compared. They include the use of theoretical formulas based on a fitted probability model (with or without a correction for parameter uncertainty), various “approximate” formulas (which should be avoided), and empirically based, simulation, and resampling procedures. The latter are useful when theoretical formulas are not available or there are doubts about some model… 
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