Search Results - subject:"Probability integral transformation"

Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models

Demetrescu, Matei; Kruse-Becher, Robinson - 2021

Persistent link: https://www.econbiz.de/10012620758

On Multivariate Extensions of Conditional-Tail-Expectation

Cousin, Areski; Bernardinoy, Elena Di - HAL - 2013

In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-Expectation (CTE) in a multivariate setting. Contrary to allocation measures or systemic risk measures, these measures are also suitable for multivariate risk problems where risks are heterogenous...

Persistent link: https://www.econbiz.de/10010701846

Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty

Yi‐Ting Chen - In: Journal of Forecasting 30 (2011) 4, pp. 409-450

integral transformation‐based moment test to unify these existing tests, and then apply the Newey–Tauchen method (the West …-free context, econometric DF models are typically parameter‐dependent. In this paper, we first use a generalized probability …

Persistent link: https://www.econbiz.de/10009146881

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

Stoja, Evarist; Polanski, Arnold - School of Economics, Finance and Management, University … - 2009

variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method …

Persistent link: https://www.econbiz.de/10009642530

On the Distortion of a Copula and its Margins

Valdez, Emiliano A. - Volkswirtschaftliche Fakultät, … - 2009

developed by Genest and Rivest (2001) for computing the distribution of the probability integral transformation of a random …

Persistent link: https://www.econbiz.de/10008596415