Blar i NHH Brage på emneord "density forecasting"
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A likelihood ratio and Markov Chain based method to evaluate density forecasting
(Discussion paper;12/14, Working paper, 2014-03)In this paper, we propose a likelihood ratio and Markov chain based method to evaluate density forecasting. This method can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. This ... -
A Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecasting
(Journal article; Peer reviewed, 2019)In this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz ...