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Evaluating forecasting performance for interval data

โœ Scribed by Hui-Li Hsu; Berlin Wu

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
469 KB
Volume
56
Category
Article
ISSN
0898-1221

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โœฆ Synopsis

Interval time series Mean squared error of interval Mean relative interval error

Mean ratio of exclusive-or a b s t r a c t From the overlapping parts and the non-overlapping parts of the actual intervals and the forecast intervals, it should be defined a criterion which is more efficient to evaluate forecasting performance for interval data. In this paper, we present evaluation techniques for interval time series forecasting. The forecast results are compared by the mean squared error of the interval, mean relative interval error and mean ratio of exclusiveor. Simulation and empirical studies show that our proposed evaluation techniques for interval forecasting can provide a more objective decision space in interval forecasting to policymakers.

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