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Evaluating multivariate forecast densities : a comparison of two approaches
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Clements, Michael P. and Smith, Jeremy (2002) Evaluating multivariate forecast densities : a comparison of two approaches. International Journal of Forecasting, Volume 18 (Number 3). pp. 397-407. doi:10.1016/S0169-2070(01)00126-1 ISSN 0169-2070.
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Official URL: http://dx.doi.org/10.1016/S0169-2070(01)00126-1
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 |
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| Divisions: | Faculty of Social Sciences > Economics | ||||
| Journal or Publication Title: | International Journal of Forecasting | ||||
| Publisher: | Elsevier | ||||
| ISSN: | 0169-2070 | ||||
| Official Date: | 2002 | ||||
| Dates: |
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| Volume: | Volume 18 | ||||
| Number: | Number 3 | ||||
| Number of Pages: | 11 | ||||
| Page Range: | pp. 397-407 | ||||
| DOI: | 10.1016/S0169-2070(01)00126-1 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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