Evaluating multivariate forecast densities : a comparison of two approaches
Clements, Michael P. and Smith, Jeremy (Jeremy P.). (2002) Evaluating multivariate forecast densities : a comparison of two approaches. International Journal of Forecasting, Volume 18 (Number 3). pp. 397-407. ISSN 0169-2070Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/S0169-2070(01)00126-1
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
|Divisions:||Faculty of Social Sciences > Economics|
|Journal or Publication Title:||International Journal of Forecasting|
|Number of Pages:||11|
|Page Range:||pp. 397-407|
|Access rights to Published version:||Restricted or Subscription Access|
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