Article : texte imprimé

A new goodness-of-fit test for event forecasting and its application to credit defaults

Andreas Blöchlinger, Auteur ; Markus Leippold, Auteur |

Dans Management science (Vol. 57 N° 3, Mars 2011)

We develop a new goodness-of-fit test for validating the performance of probability forecasts. Our test statistic is particularly powerful under sparseness and dependence in the observed data. To build our test statistic, we start from a formal [...]

Plus d'information...

Ajouter un tag

En ligne

---

1 (1 - 1 / 1) Par page : 25 50 100 200