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A Technique for Evaluating Forecasting Models
Author(s) -
Xekalaki E.,
Katti S. K.
Publication year - 1984
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.4710260208
Subject(s) - credibility , interval (graph theory) , econometrics , value (mathematics) , variable (mathematics) , statistics , interval data , computer science , mathematics , mathematical analysis , combinatorics , political science , law
Abstract The paper presents a new methodology for evaluating the performance of a forecasting model. The evaluation‐criterion utilizes a “credibility interval” centered at the model prediction. Given predicted and observed values, the length of the “credibility interval” is increased (or decreased) according as an observed value of the dependent random variable falls out of (or into) the interval. Based on that, various ways of assessing the rating of the model are discussed and illustrative examples are given.