How to compare interpretatively different models for the conditional variance function

DOI10.1080/02664760902984642MaRDI QIDQ5123593zbMATH OpenOpenAlexFDO

Authors Ilmari Juutilainen, Juha Röning

Publication date 29 September 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760902984642

zbMATH Keywords

conditional variancelog-scoring rulemodel performance measureout-of-sample testingpredictive densitypredictive likelihoodvariance function

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
• Constructing Bayesian formulations of sparse kernel learning methods
• Estimation of the confidence limits for the quadratic forms in normal variables using a simple Gaussian distribution approximation
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1253515 (Why is no real title available?)
• scientific article; zbMATH DE number 2111709 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Likelihood-Based Local Linear Estimation of the Conditional Variance Function
• Predictive density and conditional confidence interval accuracy tests
• Probabilistic Forecasts, Calibration and Sharpness
• Robust Linear Model Selection by Cross-Validation
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability

Cited in

(1)

• Modelling conditional variance function in industrial data: a case study

Describes a project that uses

Uses Software

• GLIM
• UCI

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