Прогнозирование плотности
Материал из MachineLearning.
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# ''Yong Bao, Tae-Hwy Lee''. [http://www.faculty.ucr.edu/~taelee/paper/BLpaper4.pdf Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison] // Advances in Econometrics, Vol. 20, Part B, January 2006. — Pp. 41-62. | # ''Yong Bao, Tae-Hwy Lee''. [http://www.faculty.ucr.edu/~taelee/paper/BLpaper4.pdf Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison] // Advances in Econometrics, Vol. 20, Part B, January 2006. — Pp. 41-62. | ||
# ''Stephen Hall, James Mitchell''. [http://www.niesr.ac.uk/pubs/dps/Dp249.pdf Density Forecast Combination] // National Institute of Economic and Social Research. NIESR Discussion Papers. — No. 249 — Nov 2004. | # ''Stephen Hall, James Mitchell''. [http://www.niesr.ac.uk/pubs/dps/Dp249.pdf Density Forecast Combination] // National Institute of Economic and Social Research. NIESR Discussion Papers. — No. 249 — Nov 2004. | ||
| + | # ''Hugo Gerard, Kristoffer Nimark''. [http://www.rba.gov.au/rdp/RDP2008-02.pdf Combining Multivariate Density Forecasts Using Predictive Criteria] // Reserve Bank of Australia — research discussion paper RDP 2008-02. | ||
# ''Diebold F.X., Gunther T.A., Tay A.S''. [http://citeseer.ist.psu.edu/diebold98evaluating.html Evaluating density forecasts, with applications to risk management] // International Economic Review. 1998. | # ''Diebold F.X., Gunther T.A., Tay A.S''. [http://citeseer.ist.psu.edu/diebold98evaluating.html Evaluating density forecasts, with applications to risk management] // International Economic Review. 1998. | ||
# ''Francis X. Diebold, Jinyong Hahn, Anthony S. Tay''. [http://www.nber.org/papers/w6845.pdf Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange] // Review of Economics and Statistics. — Vol. 81, 1999. — Pp. 661-673. | # ''Francis X. Diebold, Jinyong Hahn, Anthony S. Tay''. [http://www.nber.org/papers/w6845.pdf Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange] // Review of Economics and Statistics. — Vol. 81, 1999. — Pp. 661-673. | ||
Версия 21:56, 31 июля 2008
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Прогнозирование плотности (Density Forecast) — задачи и методы прогнозирования временных рядов, в которых требуется спрогнозировать числовую величину, оценив её эмпирическое распределение. Это существенно отличается от стандартных задач прогнозирования, в которых вычисляется либо точечная, либо интервальная оценка прогнозируемой величины.
Возможные варианты перевода термина на русский язык: прогнозирование плотности распределения, прогнозирование распределения.
Постановка задачи
История
Методы прогнозирования плотности
Литература
- Anthony S. Tay, Kenneth F. Wallis, Coventry Cv Al. Density Forecasting: A Survey // Journal of Forecasting. — Vol. 19, 2000. — Pp. 235–254.
- Yong Bao, Tae-Hwy Lee, Burak Saltolu. Comparing density forecast models // Journal of Forecasting. John Wiley & Sons. — Vol. 26, Issue 3, 2007. — Pp. 203–225.
- Yong Bao, Tae-Hwy Lee. Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison // Advances in Econometrics, Vol. 20, Part B, January 2006. — Pp. 41-62.
- Stephen Hall, James Mitchell. Density Forecast Combination // National Institute of Economic and Social Research. NIESR Discussion Papers. — No. 249 — Nov 2004.
- Hugo Gerard, Kristoffer Nimark. Combining Multivariate Density Forecasts Using Predictive Criteria // Reserve Bank of Australia — research discussion paper RDP 2008-02.
- Diebold F.X., Gunther T.A., Tay A.S. Evaluating density forecasts, with applications to risk management // International Economic Review. 1998.
- Francis X. Diebold, Jinyong Hahn, Anthony S. Tay. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange // Review of Economics and Statistics. — Vol. 81, 1999. — Pp. 661-673.
Ссылки
- Tae-Hwy Lee — домашняя страница.
