کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5058217 1476618 2016 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Constructing minimum-width confidence bands
ترجمه فارسی عنوان
ساخت باند های اطمینان کم عرض
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


- We construct minimum-width confidence bands from a sample of paths.
- The algorithm is based on mixed-integer optimization.
- It is guaranteed that the globally optimal solution is found.
- For very large problems, the algorithm also provides a fast approximation.

We construct minimum-width confidence bands with a predefined nominal coverage from a finite set of sample paths. In contrast to the several heuristics suggested in the literature, our mixed-integer optimization algorithm calculates global minimum-width pathwise confidence bands. For very large problems, our solution can be used as an approximation with a bounded and known gap to the globally optimal solution.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 145, August 2016, Pages 182-185
نویسندگان
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