Timeline for Assess calibration of a density forecast by Kolmogorov-Smirnov test on PIT of realized values
Current License: CC BY-SA 4.0
3 events
| when toggle format | what | by | license | comment | |
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| Aug 26, 2021 at 16:57 | history | bounty ended | Richard Hardy | ||
| Aug 24, 2021 at 14:03 | comment | added | Richard Hardy | Thank you, that makes sense. In Diebold's own textbook "Forecasting: In Economics, Business, Finance and Beyond", he suggests using KS test but then immediately tells that it is not constructive, i.e. it does not tell where the violation is coming from. But that is enough for me. Funny that I had forgotten Diebold's work when I posted the question. I still wonder why Elliott & Timmermann do not even mention this possibility... | |
| Aug 24, 2021 at 13:35 | history | answered | Stephan Kolassa | CC BY-SA 4.0 |