Interval, Quantile and Density Forecasts
Author: Mihail Yanchev
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.