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Sampling distributions of post-sample forecasting errors

dc.contributor.authorMakridakis, Spyros
dc.contributor.authorWinkler, Robert L.
dc.description.abstractForecasting errors fall in two clearly different categories: (a) the residual errors from fitting a model to the available data and (b) the post-sample forecasting errors. The emphasis of statistical theory and forecasting methodology has been on model fitting errors, even though the greatest concern in applied work should be with post-sample errors. The purpose of this paper is to investigate empirically sampling distributions of post-sample forecasting errors. The characteristics of such distributions are studied and compared with characteristics of distributions of model fitting errors. The discrepancies between characteristics of model fitting and post-sample errors are quite large and somewhat variable.en_UK
dc.relation.ispartofseriesApplied Statistics;vol. 38, no. 2
dc.rights1989 Royal Statistical Societyen_UK
dc.subjectForecasting methodsen_UK
dc.subjectMakridakis competitionen_UK
dc.subjectModel fitting errorsen_UK
dc.subjectPost sample errorsen_UK
dc.subjectSampling distributionsen_UK
dc.titleSampling distributions of post-sample forecasting errorsen_UK

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1989 Royal Statistical Society
Except where otherwise noted, this item's license is described as 1989 Royal Statistical Society