BIROn - Birkbeck Institutional Research Online

    Forecasting and prequential validation for time varying meta-elliptical distributions

    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.

    MetaElliptic240408.pdf - Author's Accepted Manuscript

    Download (966kB) | Preview


    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.


    Item Type: Article
    Additional Information: The final publication is available at
    Keyword(s) / Subject(s): commodity prices, copula function, meta-elliptic distribution, nonparametric estimation, prequential analysis, Weibull distribution
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Arina Nikandrova
    Date Deposited: 29 May 2013 15:10
    Last Modified: 13 Jun 2021 12:51


    Activity Overview

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item