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Evaluating multivariate forecast densities: a comparison of two approaches
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UNSPECIFIED (2002) Evaluating multivariate forecast densities: a comparison of two approaches. INTERNATIONAL JOURNAL OF FORECASTING, 18 (3). pp. 397-407. ISSN 0169-2070
Full text not available from this repository.Abstract
We consider methods of evaluating multivariate density forecasts. A recently proposed method is found to lack power when the correlation structure is mis-specified. Tests that have good power to detect mis-specifications of this sort are described. We also consider the properties of the tests in the presence of more general mis-specifications. (C) 2002 International Institute of Forecasters. Published by Elsevier Science B.V. All rights reserved.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Journal or Publication Title: | INTERNATIONAL JOURNAL OF FORECASTING |
| Publisher: | ELSEVIER SCIENCE BV |
| ISSN: | 0169-2070 |
| Date: | July 2002 |
| Volume: | 18 |
| Number: | 3 |
| Number of Pages: | 11 |
| Page Range: | pp. 397-407 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/10657 |
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