interval/density/probabilistic forecasts

[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

[TomDoan]

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.

[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 ?

[TomDoan]

You mean, like confidence bands? Isn't that covered on the next page of the User's Guide?