Calibration tests for multivariate Gaussian forecasts

DOI10.1016/J.JMVA.2016.11.005zbMath1352.62087OpenAlexW2555704046MaRDI QIDQ730441

Leonhard Held, Wei Wei, Fadoua Balabdaoui

Publication date: 28 December 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.11.005

zbMATH Keywords

calibration testDawid-Sebastiani scoreGaussian forecastlogarithmic scoremultivariate forecastuniform correlation matrix

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Prediction and calibration for multiple correlated variables ⋮ Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes

Uses Software

• Surveillance
• Survey
• BAPC

Cites Work

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