Constructing minimum-width confidence bands

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 145
Issue: C
Pages: 182-185

Authors (2)

Schüssler, Rainer (not in RePEc) Trede, Mark (Westfälische Wilhelms-Universi...)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

We construct minimum-width confidence bands with a predefined nominal coverage from a finite set of sample paths. In contrast to the several heuristics suggested in the literature, our mixed-integer optimization algorithm calculates global minimum-width pathwise confidence bands. For very large problems, our solution can be used as an approximation with a bounded and known gap to the globally optimal solution.

Technical Details

RePEc Handle
repec:eee:ecolet:v:145:y:2016:i:c:p:182-185
Journal Field
General
Author Count
2
Added to Database
2026-01-29