A prediction interval for a function-valued forecast model - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue International Journal of Forecasting Année : 2016

A prediction interval for a function-valued forecast model

Résumé

Starting from the information contained in the shape of the load curves, we have proposed a flexible nonparametric function-valued forecast model called KWF (Kernel+Wavelet+Functional) well suited to handle nonstationary series. The predictor can be seen as a weighted average of futures of past situations, where the weights increase with the similarity between the past situations and the actual one. In addition, this strategy provides with a simultaneous multiple horizon prediction. These weights induce a probability distribution that can be used to produce bootstrap pseudo predictions. Prediction intervals are constructed after obtaining the corresponding bootstrap pseudo prediction residuals. We develop two propositions following directly the KWF strategy and compare it to two alternative ways coming from proposals of econometricians. They construct simultaneous prediction intervals using multiple comparison corrections through the control of the family wise error (FWE) or the false discovery rate. Alternatively, such prediction intervals can be constructed bootstrapping joint probability regions. In this work we propose to obtain prediction intervals for the KWF model that are simultaneously valid for the H prediction horizons that corresponds with the corresponding path forecast, making a connection between functional time series and the econometricians' framework.
Fichier principal
Vignette du fichier
predintervals-preprint.pdf (552.33 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-01094797 , version 1 (13-12-2014)

Identifiants

Citer

Anestis Antoniadis, Xavier Brossat, Jairo Cugliari, Jean-Michel Poggi. A prediction interval for a function-valued forecast model. International Journal of Forecasting, 2016, 32 (3), pp.939-947. ⟨10.1016/j.ijforecast.2015.09.001⟩. ⟨hal-01094797⟩
464 Consultations
475 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More