美联储：光谱回溯测试无界和折叠（英文版）

In the spectral backtesting framework of Gordy and McNeil (2020) a probability measure on the unit interval is used to weight the quantiles of greatest interest in the validation of forecast models using probability-integral transform (PIT) data. We extend this framework to allow general Lebesgue-Stieltjes kernel measures with unbounded distribution functions, which brings powerful new tests based on truncated location-scale families into the spectral class. Moreover, by considering uniform dist