Denisty forecasting: A survey

Denisty 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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Veröffentlicht in:Journal of forecasting 2000-07, Vol.19 (4), p.235
Hauptverfasser: Tay, Anthony S, Wallis, Kenneth F
Format: Artikel
Sprache:eng
Schlagworte:
Central banks
Density
Economic forecasting
Economic statistics
Expected values
Experiments
Forecasting
Macroeconomics
Normal distribution
Parameter estimation
Probability
Probability distribution
Random variables
Studies
Time series
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Zusammenfassung: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.
ISSN:0277-6693
1099-131X