Predictive Density Evaluation∗
نویسندگان
چکیده
This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold (2000), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), White (2000), Bai (2003), Corradi and Swanson (2005a,b,c,d), Hong and Li (2003), and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined. JEL classification: C22, C51.
منابع مشابه
A Moving Avarage Variation Control Chart based on Bayesian Predictive Density
Recently several control charts have been introduced in the statistical process control literature which are based on the idea of Bayesian Predictive Density (BPD). Among these charts is the variation control chart which we refer to it as VBPD chart. In this paper we add the idea of Moving Average to VBPD chart and introduce a new variation control chart which has all advantages of the ...
متن کاملPredictive Density and Conditional Confidence Interval Accuracy Tests ∗
This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence intervals. We also briefly survey existing related methods in the area of predictive density evaluation, incl...
متن کاملTrip pattern of low-density residential area in semi urban industrial cluster: predictive modeling
This research elucidates the trip pattern of the low-density residential zone in a semi-urban industrial cluster of southwestern Nigeria. These sets of dwellers are often times neglected in the transportation planning process with the view that it is not a residential zone. Domiciliary information gathering procedure was employed in the analysis with 0.82 return rates. It was backed up with the...
متن کاملPerformance Evaluation of Dynamic Modulus Predictive Models for Asphalt Mixtures
Dynamic modulus characterizes the viscoelastic behavior of asphalt materials and is the most important input parameter for design and rehabilitation of flexible pavements using Mechanistic–Empirical Pavement Design Guide (MEPDG). Laboratory determination of dynamic modulus is very expensive and time consuming. To overcome this challenge, several predictive models were developed to determine dyn...
متن کاملPath Forecast Evaluation
A forecast path refers to the vector of forecasts over the next 1 to h periods into the future. These forecasts are correlated across horizons so that to properly understand the uncertainty associated with the forecast path, one requires the joint predictive density of the path rather than the collection of marginal predictive densities for each horizon. This paper derives the joint predictive ...
متن کامل