QRA: MATLAB function to compute interval forecasts using Quantile Regression Averaging (QRA)

Jakub Nowotarski

HSC Software from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: QRA(Y,X,TAU) returns prediction interval [TAU/2, (1-TAU/2)]*100% using Quantile Regression Averaging (QRA) for independent variable Y, i.e. the variable for which the prediction interval is to be constructed, and X is a matrix of individual point forecasts corresponding to values of Y. The prediction interval is computed for H steps ahead, where H is the difference between the lengths of X's and Y's (a positive integer).

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.11).
Keywords: Quantile Regression Averaging (QRA); Prediction interval; Quantile regression; Forecasts combination. (search for similar items in EconPapers)
Date: 2014-07-30
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