Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77298
Authors: 
Wenzel, Thomas
Year of Publication: 
1999
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1999,18
Abstract: 
We specify the Pitman-closeness criterion for the evaluation of multivariate forecasts in three categories. This is done closely to the definition of covariance adjustment techniques analysed in other articles. We also apply the Pitman-closeness techniques to an example dealing with German economic data.
Subjects: 
Pitman-closeness
multivariate forecasting methods
covariance adjustment
Document Type: 
Working Paper

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