Evaluating density forecasts: a comment
AbstractThis 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31184.
Date of creation: 30 May 2011
Date of revision:
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
- NEP-ETS-2011-06-11 (Econometric Time Series)
- NEP-FOR-2011-06-11 (Forecasting)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
- Valentina Corradi & Norman Swanson, 2004.
"Predictive Density Evaluation,"
Departmental Working Papers, Rutgers University, Department of Economics
200419, Rutgers University, Department of Economics.
- Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
- repec:nsr:niesrd:320 is not listed on IDEAS
- Valentina Corradi & Norman Swanson, 2006. "Predictive Density Evaluation. Revised," Departmental Working Papers, Rutgers University, Department of Economics 200621, Rutgers University, Department of Economics.
- Tilmann Gneiting & Fadoua Balabdaoui & Adrian E. Raftery, 2007. "Probabilistic forecasts, calibration and sharpness," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(2), pages 243-268.
- Tsyplakov, Alexander, 2012. "Assessment of probabilistic forecasts: Proper scoring rules and moments," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 27(3), pages 115-132.
- Hajo Holzmann & Matthias Eulert, 2014. "The role of the information set for forecasting - with applications to risk management," Papers 1404.7653, arXiv.org.
- Tsyplakov, Alexander, 2014. "Theoretical guidelines for a partially informed forecast examiner," MPRA Paper 55017, University Library of Munich, Germany.
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