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...

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...

This article examines the notion of distortion of copulas, a natural extension of distortion within the univariate framework. We study three approaches to this extension: (1) distortion of the margins alone while keeping the original copula structure, (2) distortion of the margins while...

Density forecast (DF) possesses appealing properties when it is correctly specified for the true conditional distribution. Although a number of parametric specification tests have been introduced for the DF evaluation (DFE) in the parameter-free context, econometric DF models are typically...

The Poisson-Modification of Quasi Lindley (PMQL) distribution is a newly introduced mixed Poisson distribution for over-dispersed count data. The aim of this article is to introduce the Zero-modified PMQL (ZMPMQL) distribution as an alternative to the PMQL distribution in order to accommodate...

Developing sound or reliable statistical models for analyzing vehicle crashes is veryimportant in highway safety studies. A difficulty arises when crash data exhibit overdispersion.Over-dispersion caused by unobserved heterogeneity is a serious problemand has been addressed in a variety ways...