| Tekijä: | Gardner, E. S. |
| Otsikko: | A simple method of computing prediction intervals for time series forecasts. |
| Lehti: | Management Science
1988 : APR, VOL. 34:4, p. 541-546 |
| Asiasana: | FORECASTING TIME SERIES |
| Kieli: | eng |
| Tiivistelmä: | Theoretical approaches to computing prediction intervals require strong assumptions that do not appear to hold in in practice. There is presented an empirical approach to prediction intervals that assumes very little. During model-fitting, variances of the errors are computed at different forecast lead times. Using these variances, the Chebyshev inequality is applied to determine prediction intervals. Empirical evidence is presented to show that this approach gives reasonable results. |
SCIMA