Blar i Department of Mathematics på forfatter "Andersson, Lars Jonas"
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A Likelihood Ratio and Markov Chain-Based Method to Evaluate Density Forecasting
Li, Yushu; Andersson, Lars Jonas (Peer reviewed; Journal article, 2019)In this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz ...