SEQUENTIAL PROBABILITY FORECASTS AND THE PROBABILITY INTEGRAL TRANSFORM

Authors
SEILLIERMOISEIWITSCH F
Citation
F. Seilliermoiseiwitsch, SEQUENTIAL PROBABILITY FORECASTS AND THE PROBABILITY INTEGRAL TRANSFORM, International statistical review, 61(3), 1993, pp. 395-408
Citations number
20
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
International statistical review → ACNP
ISSN journal
03067734
Volume
61
Issue
3
Year of publication
1993
Pages
395 - 408
Database
ISI
SICI code
0306-7734(1993)61:3<395:SPFATP>2.0.ZU;2-C
Abstract
The probability integral transform and its conditional version provide us with means of assessing the performance of statistical forecasting systems. The distributional characteristics of the residuals are cons idered under both the assumed sampling model and the probability model induced by the forecasting system. The CPIT can also serve as a tool to generate predictive distributions.