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creating forecast fractiles for fan charts

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creating forecast fractiles for fan charts

Dear all,

I wonder whether anybody knows of any resouce (e.g., sample code, paper, etc.) on the construction with SAS of forecast confidence intervals that "grow" as the forecast horizon expands. Ultimately, I am trying to arrive to a set of fractiles for the forecast confidence intervals that can be graphed as "fan charts".

thanks for any information,
J.
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Posts: 260

Re: creating forecast fractiles for fan charts

Maybe you should look at FORECAST and ARIMA procedures (or some forecasting tasks in Enterprise Guide) : those procedures can model your time series and predict the future with a growing confidence interval as times goes by...
Unfortunately, I'm not keen on time series for myself.
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