Evaluating multivariate forecast densities: a comparison of two approaches

By Michael P. Clements, Jeremy Smith. 2002

55 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1b654bbff8f13ea29a512c3568d85c85338a3cf6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Tilmann Gneiting
2. Geetesh Bhardwaj
3. Rob J Hyndman
4. J. De Gooijer
5. Norman R. Swanson
6. Dick Van Dijk
7. Cees G. H. Diks
8. Valentyn Panchenko

In Global and Planetary Change

1. Tilmann Gneiting
2. Leonhard Held
3. E. Grimit
4. Nicholas Alexander Johnson
5. Rob J Hyndman
6. Larissa I. Stanberry
7. Thordis Linda Thorarinsdottir
8. J. De Gooijer

In Management Science and Operations Research

1. J. De Gooijer
2. Rob J Hyndman
3. Leonhard Held
4. Tilmann Gneiting
5. E. Grimit
6. Geetesh Bhardwaj
7. Norman R. Swanson
8. James W. Taylor

Citations in the corpus

• Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification (2006, unknown): “This approach has been shown to be very useful for financial risk management (see e.g. Diebold, Hahn and Tay (1998)), as well as for macroeconomic forecasting (see e.g. Diebold, Tay and Wallis (1998) and Clements and Smith (2000,2002)).”
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (2006, background): “…testing, but also allow for misspecification amongst competing models; an important Christoffersen (1998), Christoffersen and Diebold (1997), Clements and Smith (2000,2002), Corradi and Swanson (2002), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), Harvey, Leybourne and…”
• EVALUATING T HE BANK OF ENGLAND D ENSITY FORECASTS OF INFLATION (2004, unknown): “Tests based on the probability integral transform have recently been used to evaluate probability distributions of macroeconomic variables, such as the distributions of expected inflation from the Survey of Professional Forecasters, see Diebold, Tay and Wallis (1999) and Clements (2003), and have be”
• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds (2008, background): “Clements and Smith (2000, 2002) and De Gooijer (2007) studied a variant for density forecasts in R 2 which is based on the product (or the ratio) of the first (unconditional) and the second (conditional) PIT value.”
• 25 Years of IIF Time Series Forecasting: A Selective Review (2005, methodology): “Wallis (2003) proposed chi-squared tests for both intervals and densities, and Clements & Smith (2002) discussed some simple but powerful tests when evaluating multivariate forecast densities.”
• 25 years of time series forecasting (2006, methodology): “Other approaches to interval and density evaluation are given by Wallis (2003) who proposed chi-squared tests for both intervals and densities, and Clements & Smith (2002) who discussed some simple but powerful tests when evaluating multivariate forecast densities.”