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Prediction intervals should reflect model uncertainty #8

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RJT1990 opened this issue Jul 3, 2016 · 1 comment
Open

Prediction intervals should reflect model uncertainty #8

RJT1990 opened this issue Jul 3, 2016 · 1 comment

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@RJT1990
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RJT1990 commented Jul 3, 2016 •
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If the model is Bayesian, the intervals should account for the uncertainty in the parameters. Bootstrapping is an option for the frequentist approach.
@RJT1990
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RJT1990 commented Nov 3, 2016

Update: now being implemented; will be in next release. Checklist is as follows:

  • ARIMA models
  • Bayesian Neural Network models
  • Gaussian State Space models
  • GAS Models
  • GARCH based models
  • GP-NARX models
  • Non-Gaussian State Space Models
  • VAR models

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