Interval, Quantile and Density Forecasts

Mihail Yanchev
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Mihail Yanchev: Sofia University St Kliment Ohridski, Bulgaria

Economic Alternatives, 2025, issue 1, 109-129

Abstract: This text is a detailed review of the academic literature on interval, quantile, and density forecasting. Confidence and prediction intervals and different approaches to their estimation are discussed. The concept of quantile regression is examined as a standalone method as well as an initial step to generating density forecasts. Various methods for generation and evaluation of density forecasts and some noteworthy applications are considered.

Keywords: Economic forecasting; Density Forecasting; Interval Forecasting; Quantile Regression (search for similar items in EconPapers)
JEL-codes: B40 C10 C40 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:nwe:eajour:y:2025:i:1:p:109-129

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