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Abstract

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-

Language: English-

Keywords: density forecasts-

Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation MethodsC - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection-





Author: Tsyplakov, Alexander

Source: https://mpra.ub.uni-muenchen.de/31233/







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