Density Forecasting: A Survey
Anthony S Tay () and
Kenneth Wallis ()
No 370, Econometric Society World Congress 2000 Contributed Papers from Econometric Society
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.
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