A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts.

Anthony Tay

Kenneth F. Wallis

English

Research Papers in Economics

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Density Forecasting: A Survey

http://fmwww.bc.edu/RePEc/es2000/0370.pdf

Density Forecasting: A Survey

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Research Papers in Economics