| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0215 |
| 来源ID | Technical Working Paper 0215 |
| Evaluating Density Forecasts | |
| Francis X. Diebold; Todd A. Gunther; Anthony S. Tay | |
| 发表日期 | 1997-10-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | We propose methods for evaluating density forecasts. We focus primarily on methods" that are applicable regardless of the particular user's loss function. We illustrate the methods" with a detailed simulation example, and then we present an application to density forecasting of" daily stock market returns. We discuss extensions for improving suboptimal density forecasts multi-step-ahead density forecast evaluation, multivariate density forecast evaluation for structural change and its relationship to density forecasting, and density forecast evaluation" with known loss function. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0215 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563714 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Todd A. Gunther,Anthony S. Tay. Evaluating Density Forecasts. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0215.pdf（887KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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