کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
417544 | 681534 | 2012 | 15 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A new class of independence tests for interval forecasts evaluation A new class of independence tests for interval forecasts evaluation](/preview/png/417544.png)
Interval forecasts evaluation can be reduced to examining the unconditional coverage and independence properties of the hit sequence. A new class of exact independence tests for the hit sequence and a definition for tendency to clustering of violations are proposed. The tests are suitable for detecting models with a tendency to generate clusters of violations and are based on an exact distribution that does not depend on an unknown parameter. The asymptotic distribution is also derived. The choice of one test within the class is studied. Moreover, a simulation study provides evidence that, in order to test the independence hypothesis, the suggested tests perform better than other tests presented in the literature. An empirical application is given for a period that includes the 2008 financial crisis.
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 11, November 2012, Pages 3366–3380