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

Rob J Hyndman
(1995) Journal of Forecasting 14, 431-441

DOI

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