Comparing density forecast models

Journal of Forecasting

Volumn 26, Issue 3, 2007, Pages 203-225

  Bao, Yong ^a   Lee, Tae Hwy ^b   Saltoǧlu, Burak ^c  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c BOGAZICI UNIVERSITY   (Turkey)

Author keywords

Density forecast comparison; KLIC; Predictive log likelihood; Reality check

Indexed keywords

ASYMPTOTIC ANALYSIS; INFORMATION ANALYSIS; INTEGRAL EQUATIONS; MATHEMATICAL TRANSFORMATIONS; MAXIMUM LIKELIHOOD; STATISTICAL METHODS;

DENSITY FORECAST COMPARISON; KULLBACK-LEIBLER INFORMATION CRITERION (KLIC); PREDICTIVE LOG LIKELIHOOD; REALITY CHECKS;

MATHEMATICAL MODELS;

EID: 34247574337     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1023     Document Type: Review

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