Assessment of probabilistic forecasts: Proper scoring rules and moments
AbstractThe article provides an overview of probabilistic forecasting and discusses a theoretical approach to assessing the quality of density forecasts, based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting RTSI stock index are used to try out this approach.
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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 27 (2012)
Issue (Month): 3 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
probabilistic forecast; forecast calibration; probability integral transform; scoring rule;
Find related papers by JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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