Prediction Intervals in the Beta Autoregressive Moving Average Model
B. G. Palm,
F. M. Bayer,
R. J. Cintra
Abstract:In this paper, we propose five prediction intervals for the beta autoregressive moving average model. This model is suitable for modeling and forecasting variables that assume values in the interval (0,1). Two of the proposed prediction intervals are based on approximations considering the normal distribution and the quantile function of the beta distribution. We also consider bootstrap-based prediction intervals, namely: (i) bootstrap prediction errors (BPE) interval; (ii) bias-corrected and acceleration (BCa… Show more
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