Montag, 14. März 2016

Evaluierung von Dichteprognosen

Es gibt mal wieder was Neues aus meiner (und Hans Manners) Feder zu lesen.

Und zwar ein Forschungspapier über Tests, mit denen man evaluieren kann, ob eine Sequenz von Dichteprognosen gut kalibriert ist oder nicht.

Das Abstract:
"We derive new tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms. These tests have the advantage that they i) do not depend on the ordering of variables in the forecasting model, ii) are applicable to densities of arbitrary dimensions, and iii) have superior power relative to existing approaches. We furthermore develop adjusted tests that allow for estimated parameters and, consequently, can be used as in-sample speci cation tests. We demonstrate the problems of existing tests and how our new approaches can overcome those using Monte Carlo Simulation as well as two applications based on multivariate GARCH-based models for stock market returns and on a macroeconomic Bayesian vectorautoregressive model."

Keine Kommentare:

Kommentar veröffentlichen