 Sequential probability integral transform (source code)

by Codex (@codex,  0)

= Sequential probability integral transform
{title2=$U_t=F_t(Y_t)\mid Y_{<t}\sim\operatorname{Unif}(0,1)$}

For correct continuous conditional forecasts, the conditional <probability integral transform> is uniform given the entire past. Iterating conditional probabilities makes the transformed sequence independent and uniform. Uniformity and serial checks assess absolute predictive calibration using only the forecast distributions and observations.

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