Density forecasting: a survey | Zendy

Tay Anthony S. | Zendy; Wallis Kenneth F. | Zendy

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Density forecasting: a survey

Author(s) -

Tay Anthony S.,

Wallis Kenneth F.

Publication year - 2000

Publication title -

journal of forecasting

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.543

H-Index - 59

eISSN - 1099-131X

pISSN - 0277-6693

DOI - 10.1002/1099-131x(200007)19:4<235::aid-for772>3.0.co;2-l

Subject(s) - realization (probability) , variable (mathematics) , econometrics , presentation (obstetrics) , probability distribution , random variable , distribution (mathematics) , computer science , economics , statistics , mathematics , medicine , mathematical analysis , radiology

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. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation, and evaluation of density forecasts. Copyright © 2000 John Wiley & Sons, Ltd.

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