Autocontour-based evaluation of multivariate predictive densities
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DOI: 10.1016/j.ijforecast.2011.06.001
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- Covas, Francisco B. & Rump, Ben & Zakrajšek, Egon, 2014.
"Stress-testing US bank holding companies: A dynamic panel quantile regression approach,"
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"Order‐invariant tests for proper calibration of multivariate density forecasts,"
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- Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020.
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"Density forecast evaluation in unstable environments,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 416-432.
- Gloria Gonzalez-Rivera & Yingying Sun, 2014. "Density Forecast Evaluation in Unstable Environments," Working Papers 201428, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yingying Sun, 2016. "Density Forecast Evaluation in Unstable Environments," Working Papers 201606, University of California at Riverside, Department of Economics.
- Rossi, Barbara & Sekhposyan, Tatevik, 2019.
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- João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020.
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Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
- Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018.
"Prediction Regions for Interval-valued Time Series,"
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201817, University of California at Riverside, Department of Economics.
- Ruiz Ortega, Esther & Luo, Yun & González-Rivera, Gloria, 2019. "Prediction regions for interval-valued time series," DES - Working Papers. Statistics and Econometrics. WS 29054, Universidad Carlos III de Madrid. Departamento de Estadística.
- Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2019. "Prediction Regions for Interval-valued Time Series," Working Papers 201921, University of California at Riverside, Department of Economics.
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- Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
- Veiga, Helena & Ruiz, Esther & González-Rivera, Gloria & Gonçalves Mazzeu, Joao Henrique, 2016. "A Bootstrap Approach for Generalized Autocontour Testing," DES - Working Papers. Statistics and Econometrics. WS 23457, Universidad Carlos III de Madrid. Departamento de Estadística.
- González-Rivera, Gloria & Sun, Yingying, 2015.
"Generalized autocontours: Evaluation of multivariate density models,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 799-814.
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Keywords
Probability contour plot; Probability integral transformation; Parameter uncertainty; Forecasting schemes;Statistics
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