Sancetta, A. and Nikandrova, Arina (2009) Forecasting and prequential validation for time varying meta-elliptical distributions. Journal of Time Series Econometrics 1 (2), ISSN 1941-1928.
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Abstract
We consider forecasting and prequential (predictive sequential) validation of meta-elliptical distributions with time varying parameters. Using the weak prequential principle of Dawid, we conduct model validation avoiding nuisance parameter problems. Results rely on the structure of meta-elliptical distributions and we allow for discontinuities in the marginals and time varying parameters. We illustrate the ideas of the paper using a large data set of 16 commodity prices.
Metadata
| Item Type: | Article |
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| Additional Information: | The final publication is available at www.degruyter.com |
| Keyword(s) / Subject(s): | commodity prices, copula function, meta-elliptic distribution, nonparametric estimation, prequential analysis, Weibull distribution |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Arina Nikandrova |
| Date Deposited: | 29 May 2013 15:10 |
| Last Modified: | 02 Aug 2023 17:04 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/7036 |
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