Highest-density forecast regions for nonlinear and non-normal time series models

 

Many modern time series methods, such as those involving non-linear models or non-normal data, frequently lead to forecast densities which are asymmetric or multi-modal. The problem of obtaining forecast regions in such cases is discussed and it is proposed that highest density forecast regions be used. A graphical method for presenting the results is discussed.

Keywords: non-linear time series, non-normal time series, highest density regions, forecast intervals, threshold models.

R code

Cite

@article{HDRF95,
  author  = {Rob J Hyndman},
  doi     = {10.1002/for.3980140503},
  journal = {J Forecasting},
  number  = {5},
  pages   = {431--441},
  title   = {Highest-density forecast regions for nonlinear and non-normal time series models},
  volume  = {14},
  year    = {1995}
}