Arbeitspapier
Order Invariant Evaluation of Multivariate Density Forecasts
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 specification 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series ; No. 608
- Klassifikation
-
Wirtschaft
- Thema
-
density calibration
goodness-of-fit test
predictive density
Rosenblatt transformation
Stetige Verteilung
Statistische Methodenlehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dovern, Jonas
Manner, Hans
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Heidelberg, Department of Economics
- (wo)
-
Heidelberg
- (wann)
-
2016
- DOI
-
doi:10.11588/heidok.00020376
- Handle
- URN
-
urn:nbn:de:bsz:16-heidok-203762
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dovern, Jonas
- Manner, Hans
- University of Heidelberg, Department of Economics
Entstanden
- 2016
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