Density Forecasting: A Survey [chapter]

Anthony S. Tay, Kenneth F. Wallis
A Companion to Economic Forecasting  
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. 1 The helpful comments and suggestions of Frank Diebold, Stewart Hodges and two anonymous referees are
more » ... ferees are gratefully acknowledged. Responsibility for errors remains with the authors.
doi:10.1002/9780470996430.ch3 fatcat:ve7s5v5jnnbfrk4cjadycizf4m