Forecasting of density functions with an application to cross-sectional and intraday returns

Piotr Kokoszka, Hong Miao, Alexander Petersen and Han Lin Shang

International Journal of Forecasting, 2019, vol. 35, issue 4, 1304-1317

Abstract: This paper is concerned with the forecasting of probability density functions. Density functions are nonnegative and have a constrained integral, and thus do not constitute a vector space. The implementation of established functional time series forecasting methods for such nonlinear data is therefore problematic. Two new methods are developed and compared to two existing methods. The comparison is based on the densities derived from cross-sectional and intraday returns. For such data, one of our new approaches is shown to dominate the existing methods, while the other is comparable to one of the existing approaches.

Keywords: Compositional data analysis; Constrained functional time series; Density function forecasting; Log quantile density transformation (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:4:p:1304-1317

DOI: 10.1016/j.ijforecast.2019.05.007

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