Confidence band for Kalman filter
Posted: Mon Oct 03, 2011 12:06 am
Hi,
The Eviews can calculate the uncertainty or the confidence band (RMSE-s) for one step-ahead prediction. If the variances of the filter are set to a very tiny number then this band will bee too narrow so it can not really capture the uncertainty of the estimation. Could you help me with calculating let’s say 95 precent confidence band for the whole series?
Thank you in advance!
Cheers,
Miklos
The Eviews can calculate the uncertainty or the confidence band (RMSE-s) for one step-ahead prediction. If the variances of the filter are set to a very tiny number then this band will bee too narrow so it can not really capture the uncertainty of the estimation. Could you help me with calculating let’s say 95 precent confidence band for the whole series?
Thank you in advance!
Cheers,
Miklos