Publications and Research
Document Type
Article
Publication Date
12-1971
Abstract
A simple method for the construction of empirical confidence intervals for time series forecasts is described. The procedure is to go through the series making a forecast from each point in time. The comparison of these forecasts with the known actual observations will yield an empirical distribution of forecasting errors. This distribution can then be used to set confidence intervals for subsequent forecasts. The technique appears to be particularly useful when the mechanism generating the series cannot be fully identified from the available data or when limits based on more standard considerations are difficult to obtain.
Included in
Applied Statistics Commons, Finance and Financial Management Commons, Management Sciences and Quantitative Methods Commons, Statistical Methodology Commons
Comments
This article originally appeared in the Journal of the American Statistical Association.