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We propose two simple evaluation methods for time-varying density forecasts of continuous higher-dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation...
Persistent link: https://www.econbiz.de/10010577340
. We work with the one-step-ahead quantile residuals, which must be i.i.d. (univariate and multivariate) normal under the …
Persistent link: https://www.econbiz.de/10011051448