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Quantile regression approach to generating prediction intervals.

Abstract:

Exponential smoothing methods do not involve a formal procedure for identifying the underlying data generating process. The issue is then whether prediction intervals should be estimated by a theoretical approach, with the assumption that the method is optimal in some sense, or by an empirical procedure. In this paper we present an alternative hybrid approach which applies quantile regression to the empirical fit errors to produce forecast error quantile models. These models are functions of ...

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Publisher copy:
10.1287/mnsc.45.2.225

Authors


Journal:
Management Science
Volume:
45
Issue:
2
Publication date:
1999-01-01
DOI:
URN:
uuid:07910ded-09fd-4bfc-96b0-e8f799c21150
Local pid:
oai:economics.ouls.ox.ac.uk:14866
Language:
English

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