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Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...
Persistent link: https://www.econbiz.de/10012916359
Persistent link: https://www.econbiz.de/10008839743
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Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...
Persistent link: https://www.econbiz.de/10011845266
Persistent link: https://www.econbiz.de/10012039348