Evaluating Density Forecasts with Applications to Financial Risk Management¶
Diebold, F. X., Gunther, T. A., & Tay, A. S. (1998). Evaluating Density Forecasts with Applications to Financial Risk Management. International Economic Review, 39(4), 863-883.
Cited by¶
1 citation across 1 artifact.
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Mechanisms¶
- Holdout Calibration and Coverage Backtest
- The honest coverage check it rests on is the probability integral transform: if a predictive distribution is well calibrated, the outcomes' quantiles under it are uniform, and a non-uniform PIT histogram is a direct picture of miscalibration.
This sourceShows that correctly calibrated conditional predictive distributions produce uniform probability-integral-transform values and that departures from uniformity diagnose density-forecast misspecification.
- The honest coverage check it rests on is the probability integral transform: if a predictive distribution is well calibrated, the outcomes' quantiles under it are uniform, and a non-uniform PIT histogram is a direct picture of miscalibration.
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