Tsyplakov, Alexander (2011): Evaluating density forecasts: a comment.
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This is a comment on Mitchell and Wallis (2011) which in turn is a critical reaction to Gneiting et al. (2007). The comment discusses the notion of forecast calibration, the advantage of using scoring rules, the “sharpness” principle and a general approach to testing calibration. The aim is to show how a more general and explicitly stated framework for evaluation of probabilistic forecasts can provide further insights.
|Item Type:||MPRA Paper|
|Original Title:||Evaluating density forecasts: a comment|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
|Depositing User:||Alexander Tsyplakov|
|Date Deposited:||30. May 2011 19:14|
|Last Modified:||02. Mar 2013 18:26|
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