FORECASTING FOR THE UNIVARIATE LOGNORMAL DIFFUSION PROCESS WITH EXOGENOUS FACTORS

Abstract

The forecasting problem for the univariate lognormal diffusion process with exogenous factors is studied. For point predictions we propose the use of the mode function together with the mean function and, for some particular cases, the conditional version of these functions. For the interval predictions we obtain confidence bands for the mentioned functions; taking into consideration the percentile functions, intervals containing the variable of the process, for each time, with a specific probability are also obtained.