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Provide option to give shorter prediction intervals #16

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jthaman opened this issue Nov 5, 2017 · 0 comments
Open

Provide option to give shorter prediction intervals #16

jthaman opened this issue Nov 5, 2017 · 0 comments

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@jthaman
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jthaman commented Nov 5, 2017

Currently, when we form prediction intervals via simulation, we take the alpha/2 and 1 - alpha/2 quantiles of the simulations to compute the interval estimate. Another method would be to provide the shortest intervals such that (1 - alpha)*M simulations lie inside. M is the total numbers of simulations set by nSims.
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