Calibration tests for multivariate Gaussian forecasts

Title
Calibration tests for multivariate Gaussian forecasts
Authors
Keywords
Calibration test, Multivariate forecast, Dawid–Sebastiani score, Logarithmic score, Gaussian forecast, Uniform correlation matrix
Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 154, Issue -, Pages 216-233
Publisher
Elsevier BV
Online
2016-11-15
DOI
10.1016/j.jmva.2016.11.005

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