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Density Forecasting: A Survey, Anthony S. Tay, Kenneth F. Wallis
Density Forecasting: A Survey, Anthony S. Tay, Kenneth F. Wallis
Research Collection School Of Economics
A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. A selective survey is presented of applications of density forecasting in macroeconomics and finance, and some issues concerning the production, presentation, and evaluation of density forecasts are discussed.