English, Article, Journal or magazine article edition: Hypernormal Densities Raffaella Giacomini; Christian Haefke; Halbert White; ...

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Bookmark: http://trove.nla.gov.au/version/73615
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Hypernormal Densities
Author
  • Raffaella Giacomini
  • Christian Haefke
  • Halbert White
  • Andreas Gottschling
Physical Description
  • preprint
Notes
  • We propose a new family of density functions that possess both flexibility and closed form expressions for moments and anti-derivatives, making them particularly appealing for applications. We illustrate its usefulness by applying our new family to obtain density forecasts of U.S. inflation. Our methods generate forecasts that improve on standard methods based on AR-ARCH models relying on normal or Student's t-distributional assumptions.
  • RePEc:upf:upfgen:638
  • We derive a new family of probability densities that have the property of closed-form integrability. This flexible family finds a variety of applications, of which we illustrate density forecasting from models of the AR-ARCH class for U.S. inflation. We find that the hypernormal distribution for the model's disturbances leads to better density forecasts than the ones produced under the assumption that the disturbances are Normal or Student's t.
  • RePEc:boc:bocoec:584
  • ARMA-GARCH Models, neural networks, nonparametric density estimation, forecast accuracy,
  • RePEc:cdl:ucsdec:2002-14
Language
  • English
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