Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 胡家浩教授 (统计学系) |
| 张绍洪教授 (统计学系) |
| 陈伟森教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/S0378-4754(03)00108-3 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL
其它资讯
摘要It is indisputable that accurate forecasts of economic activities are vital to successful business and government policies. In many circumstances, instead of a single forecast, simultaneous prediction intervals for multiple forecasts are more useful to decision-makers. For example, based on previous monthly sales records, a production manager would be interested in the next 12 interval forecasts of the monthly sales using for the annual inventory and manpower planning. For Gaussian autoregressive time series processes, several procedures for constructing simultaneous prediction intervals have been proposed in the literature. These methods assume a normal error distribution and can be adversely affected by departures from normality which are commonly encountered in business and economic time series. In this article, we explore the bootstrap methods for the construction of simultaneous multiple interval forecasts. To understand the mechanisms and characteristics of the proposed bootstrap procedures, several macro-economic time series are selected for illustrative purposes. The selected series are fitted reasonably well with autoregressive models which form an important class in time series. As a matter of fact, the major ideas discussed in this paper with autoregressive processes can be extended to other more complicated time series models. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.
着者Chan WS, Cheung SH, Wu KH
会议名称14th Biennial Conference on Modelling and Simulation
会议开始日01.12.2001
会议地点CANBERRA
期刊名称Mathematics and Computers in Simulation
出版年份2004
月份2
日期11
卷号64
期次3-4
出版社ELSEVIER SCIENCE BV
页次421 - 430
国际标準期刊号03http://aims.cuhk.edu.hk/converis/portal/Publication/78-4http://aims.cuhk.edu.hk/converis/portal/Publication/754
电子国际标準期刊号18http://aims.cuhk.edu.hk/converis/portal/Publication/72-http://aims.cuhk.edu.hk/converis/portal/Publication/7166
语言英式英语
关键词AIC; autoregressive processes; Bonferroni inequality; bootstrap; simultaneous prediction intervals
Web of Science 学科类别Computer Science; Computer Science, Interdisciplinary Applications; COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS; Computer Science, Software Engineering; COMPUTER SCIENCE, SOFTWARE ENGINEERING; Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED
