Evaluating multivariate forecast densities: a comparison of two approaches

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 and Smith, J. (2002) Evaluating multivariate forecast densities: a comparison of two approaches. International Journal of Forecasting, 18 (3). pp. 397-407. ISSN 0169-2070 doi: 10.1016/S0169-2070(01)00126-1

Abstract/Summary

We consider methods of evaluating multivariate density forecasts. A recently proposed method is found to lack power when the correlation structure is mis-specified. Tests that have good power to detect mis-specifications of this sort are described. We also consider the properties of the tests in the presence of more general mis-specifications.