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- W1572507651 abstract "This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold (2000), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), White (2000), Bai (2003), Corradi and Swanson (2005a,b,c,d), Hong and Li (2003), and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined." @default.
- W1572507651 created "2016-06-24" @default.
- W1572507651 creator A5044009212 @default.
- W1572507651 creator A5078970089 @default.
- W1572507651 date "2005-01-01" @default.
- W1572507651 modified "2023-10-14" @default.
- W1572507651 title "Predictive Density Evaluation" @default.
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