Munich Personal RePEc Archive

Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments

Tsyplakov, Alexander (2013): Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments.

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Abstract

The paper provides an overview of probabilistic forecasting and discusses a theoretical framework for evaluation of probabilistic forecasts which is based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting the RTSI stock index are used as illustrations.

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