A Simple Method for the Construction of Empirical Confidence Limits for Economic Forecasts
作者:
W.H. Williams,
M.L. Goodman,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1971)
卷期:
Volume 66,
issue 336
页码: 752-754
ISSN:0162-1459
年代: 1971
DOI:10.1080/01621459.1971.10482340
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
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.
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