Order‐invariant tests for proper calibration of multivariate density forecasts

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Dynamic Density Forecasts for Multivariate Asset Returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully selected set of co-moments. In an extensive empirical study, we compare the proposed model with a ran...

متن کامل

Evaluating multivariate volatility forecasts

The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that statistical-based methods, or...

متن کامل

Development of a Sensitive Spectrofluorometric-Multivariate Calibration Method for Enzyme Kinetic of Aldehyde Oxidase

Attempts to obtain experimental values for the kinetic parameters of phenanthridine oxidation by guinea pig or rabbit liver aldehyde oxidase using common spectrophotometric methods have not been successful due to a lower limit of detection. In the present study, a new spectrofluorimetric assay in combination with a multivariate calibration method for enzymatic kinetic study of aldehyde oxidase ...

متن کامل

Development of a Sensitive Spectrofluorometric-Multivariate Calibration Method for Enzyme Kinetic of Aldehyde Oxidase

Attempts to obtain experimental values for the kinetic parameters of phenanthridine oxidation by guinea pig or rabbit liver aldehyde oxidase using common spectrophotometric methods have not been successful due to a lower limit of detection. In the present study, a new spectrofluorimetric assay in combination with a multivariate calibration method for enzymatic kinetic study of aldehyde oxidase ...

متن کامل

Probabilistic forecasts, calibration and sharpness

Probabilistic forecasts of a continuous variable take the form of predictive densities or predictive cumulative distribution functions. We propose a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive distributions subject to calibration. Calibration refers to the statistical consistency between the distribu...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Applied Econometrics

سال: 2020

ISSN: 0883-7252,1099-1255

DOI: 10.1002/jae.2755