Density Forecasting: A Survey

Density Forecasting: A Survey

A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerni...

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Bibliographic Details
Main Authors: TAY, Anthony S., WALLIS, Kenneth F.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2000
Subjects:
Density forecasts
economic forecasts
financial forecasts
probability distributions
forecast evaluation
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/263
https://ink.library.smu.edu.sg/context/soe_research/article/1262/viewcontent/DensityForecasting_2000_JoF.pdf
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Institution: Singapore Management University
Language: English
Description
Summary:A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerning the production, presentation, and evaluation of density forecasts are discussed.

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