Journal article

Publication year: 2013

Pages: 221-233

Journal: International Journal of Forecasting

Volume number: 29

Issue number: 2

ISSN: 0169-2070

eISSN: 1872-8200

DOI Link: https://doi.org/10.1016/j.ijforecast.2012.09.004

Publisher: Elsevier

Abstract: 

Typically, prediction bands for path-forecasts are constructed pointwise, while inference relates to the whole forecasted path. In general, no closed form analytical solution is available for pathwise bands in finite samples. We consider a direct construction approach based on bootstrapped prediction bands. The resulting highly complex optimization problem is tackled using the local search heuristic of threshold accepting. A comparison with pointwise and asymptotic bands is provided, demonstrating superior properties of the proposed bands in small samples. Finally, a real application shows the practical implications of using an appropriate tool for generating the prediction bands.

Harvard Citation style: Staszewska-Bystrova, A. and Winker, P. (2013) Constructing narrowest pathwise bootstrap prediction bands using threshold accepting, International Journal of Forecasting, 29(2), pp. 221-233. https://doi.org/10.1016/j.ijforecast.2012.09.004

APA Citation style: Staszewska-Bystrova, A., & Winker, P. (2013). Constructing narrowest pathwise bootstrap prediction bands using threshold accepting. International Journal of Forecasting. 29(2), 221-233. https://doi.org/10.1016/j.ijforecast.2012.09.004