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Optimal forecast intervals under asymmetric loss

✍ Scribed by Matei Demetrescu

Book ID
102214455
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
287 KB
Volume
26
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

An optimality criterion for forecast intervals under asymmetric loss functions is proposed. A loss optimal forecast interval is obtained by requiring that the expected loss, conditional on a future realization within the desired interval, be minimal. The main difficulty in the context of forecasting under asymmetric loss emerges when there is no knowledge about the distribution of the innovations. For solving this problem, an extension of estimation under the relevant loss function is suggested. In many cases, one also needs to account for the additional variability due to estimation of model parameters. Another solution, based on the bootstrap, works for both problems.  Copyright Β© 2007 John Wiley & Sons, Ltd.

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