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Scanning Multivariate Conditional Densities with Probability Integral Transforms
http://hdl.handle.net/2261/2644
http://hdl.handle.net/2261/264427fb77be-3e8f-410b-86e6-9abef98db7de
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | Scanning Multivariate Conditional Densities with Probability Integral Transforms | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Density forecast evaluation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multivariate conditional density | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | probability integral transform | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multivariate GARCH | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Ishida, Isao
× Ishida, Isao |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts. Our approach enables us to "scan" multivariate densities in various di.erent ways. A simple bivariate normal example is given that illustrates how "scanning" a multivariate density from particular angles leads to tests with no power or high power. An empirical example is also given that applies several di.erent probability integral transforms to specification testing of Engle's (2002) dynamic conditional correlation model for multivariate financial returns time series with multivariate normal and t errors. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-369, 発行日 2005-09 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2005/2005cf369ab.html |