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interval/density/probabilistic forecasts
Posted: Fri Mar 26, 2021 5:59 am
by ac_1
Hi Tom,
Is there a "vanilla" example of generating & evaluating interval/density/probabilistic forecasts in RATS i.e. how to backtest results from fan charts?
Cheers,
Amarjit
Re: interval/density/probabilistic forecasts
Posted: Sat Mar 27, 2021 5:48 pm
by TomDoan
ac_1 wrote:Hi Tom,
Is there a "vanilla" example of generating & evaluating interval/density/probabilistic forecasts in RATS i.e. how to backtest results from fan charts?
Cheers,
Amarjit
I have no idea what you mean. A "fan chart" is a a way to
present probabilities, not a way to compute them. It also shows the probability distribution at each separate horizon, but doesn't tell you anything about what a typical multi-period path might look like.
Re: interval/density/probabilistic forecasts
Posted: Sun Mar 28, 2021 4:46 am
by ac_1
My question is then, how do I generate & evaluate
interval forecasts in RATS, as I can for point forecasts, as in
https://estima.com/docs/RATS%2010%20Use ... f#page=186 ?
Re: interval/density/probabilistic forecasts
Posted: Thu Apr 01, 2021 5:47 pm
by TomDoan
You mean, like confidence bands? Isn't that covered on the next page of the User's Guide?