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Prediction intervals for growth curve forecasts
Author(s) -
Meade Nigel,
Islam Towhidul
Publication year - 1995
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980140502
Subject(s) - bootstrapping (finance) , interval (graph theory) , prediction interval , context (archaeology) , variance (accounting) , econometrics , statistics , value (mathematics) , computer science , mathematics , paleontology , business , biology , accounting , combinatorics
Since growth curves are often used to produce medium‐ to long‐term forecasts for planning purposes, it is obviously of value to be able to associate an interval with the forecast trend. The problems in producing prediction intervals are well described by Chatfield. The additional problems in this context are the intrinsic non‐linearity of the estimation procedure and the requirement for a prediction region rather than a single interval. The approaches considered are a Taylor expansion of the variance of the forecast values, an examination of the joint density of the parameter estimates, and bootstrapping. The performance of the resultant intervals is examined using simulated data sets. Prediction intervals for real data are produced to demonstrate their practical value.