Constructing Optimal Pathwise Confidence Bands Using Mixed-Integer Optimization

12 Pages Posted: 11 Dec 2015

See all articles by Rainer Alexander Schüssler

Rainer Alexander Schüssler

University of Rostock - Department of Economics

Mark M. Trede

University of Münster - Faculty of Economics

Date Written: December 9, 2015

Abstract

We address the question of how to construct optimal confidence bands with a predefined nominal coverage from a finite set of sample paths. We introduce a mixed-integer optimization algorithm to calculate globally optimal pathwise confidence bands. We illustrate the method with an example of realistic size.

Keywords: Pathwise confidence bands; Mixed-integer optimization

JEL Classification: C61; C53

Suggested Citation

Schüssler, Rainer Alexander and Trede, Mark M., Constructing Optimal Pathwise Confidence Bands Using Mixed-Integer Optimization (December 9, 2015). Available at SSRN: https://ssrn.com/abstract=2701320 or http://dx.doi.org/10.2139/ssrn.2701320

Rainer Alexander Schüssler (Contact Author)

University of Rostock - Department of Economics ( email )

Ulmenstr. 69
Rostock, 18057
Germany

Mark M. Trede

University of Münster - Faculty of Economics ( email )

Universitätsstr. 14-16
48143 Munster
Germany

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