Constructing minimum-width confidence bands

Rainer Schüssler and Mark Trede ()

Economics Letters, 2016, vol. 145, issue C, 182-185

Abstract: We construct minimum-width confidence bands with a predefined nominal coverage from a finite set of sample paths. In contrast to the several heuristics suggested in the literature, our mixed-integer optimization algorithm calculates global minimum-width pathwise confidence bands. For very large problems, our solution can be used as an approximation with a bounded and known gap to the globally optimal solution.

Keywords: Pathwise confidence bands; Mixed-integer optimization; Multiperiod forecasts (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:145:y:2016:i:c:p:182-185

DOI: 10.1016/j.econlet.2016.06.013

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