Evaluating the discrimination ability of proper multi-variate scoring rules
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DOI: 10.1007/s10479-022-04611-9
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- Carol Alexander & Michael Coulon & Yang Han & Xiaochun Meng, 2021. "Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules," Papers 2101.12693, arXiv.org.
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Cited by:
- Panagiotelis, Anastasios & Gamakumara, Puwasala & Athanasopoulos, George & Hyndman, Rob J., 2023.
"Probabilistic forecast reconciliation: Properties, evaluation and score optimisation,"
European Journal of Operational Research, Elsevier, vol. 306(2), pages 693-706.
- Anastasios Panagiotelis & Puwasala Gamakumara & George Athanasopoulos & Rob J Hyndman, 2020. "Probabilistic Forecast Reconciliation: Properties, Evaluation and Score Optimisation," Monash Econometrics and Business Statistics Working Papers 26/20, Monash University, Department of Econometrics and Business Statistics.
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Keywords
Multivariate forecasting; Proper scoring rules; Discrimination heuristic; Energy score; Variogram score;All these keywords.
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