Order invariant tests for proper calibration of multivariate density forecasts
Jonas Dovern and Hans Manner
| Alternative title: | Order invariant evaluation of multivariate density forecasts |
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| Year of publication: |
April 2018
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| Authors: | Dovern, Jonas ; Manner, Hans |
| Publisher: |
[Graz] : Department of Economics, Department of Public Economics, University of Graz |
| Subject: | density calibration | goodness-of-fit test | predictive density | Rosenblatt transformation | Statistische Methodenlehre | Statistical theory | Prognoseverfahren | Forecasting model | Stetige Verteilung | Continuous distribution | Theorie | Theory |
| Extent: | 1 Online-Ressource (circa 47 Seiten) Illustrationen |
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| Series: | Graz economics papers : GEP. - Graz, ZDB-ID 2677671-6. - Vol. GEP 2018, 09 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | A previous draft of this paper has been circulated under the title "Order Invariant Evaluation of Multivariate Density Forecasts". |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011864772