HIGHEST-DENSITY FORECAST REGIONS FOR NONLINEAR AND NONNORMAL TIME-SERIES MODELS

Forecast regions are a common way to summarize forecast accuracy. They usually consist of an interval symmetric about the forecast mean. How ever, symmetric intervals may not be appropriate forecast regions when the forecast density is not symmetric and unimodal. With many modern time series models, such as those which are non-linear or have non-nor mal errors, the forecast densities are often asymmetric or multimodal. The problem of obtaining forecast regions in such cases is considered and it is proposed that highest-density forecast regions be used. A g raphical method for presenting the results is discussed.