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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
Abstract 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.