We contribute to the rather sparse literature on multivariate density forecasting by introducing a new framework for the out-of-sample evaluation of multivariate density forecast models which builds on the concept of “autocontours” proposed by González-Rivera, Senyuz, and Yoldas (2011)....

Integer-valued time series models make use of thinning operators for coherency in the nature of count data. However, the thinning operators make residuals unobservable and are the main difficulty in developing diagnostic tools for autocorrelated count data. In this regard, we introduce a new...

We introduce a general perspective on the introduction of skewness into symmetric distributions. Making use of inverse probability integral transformations we provide a constructive representation of skewed distributions, where the skewing mechanism and the original symmetric distributions are...