Constructing narrowest pathwise bootstrap prediction bands using threshold accepting

B-Tier
Journal: International Journal of Forecasting
Year: 2013
Volume: 29
Issue: 2
Pages: 221-233

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:intfor:v:29:y:2013:i:2:p:221-233
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29