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Density Forecasting

Author

Listed:
  • Federico Bassetti

    () (Politecnico of Milan, Italy)

  • Roberto Casarin

    () (University Ca' Foscari of Venice, Italy)

  • Francesco Ravazzolo

    () (Free University of Bolzano‐Bozen Faculty of Economics, Italy and BI Norwegian Business School)

Abstract

This paper reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript provides some numerical simulation tools to approximate predictive densities with a focus on parallel computing on graphical process units. Some simple examples are proposed to illustrate the methods.

Suggested Citation

  • Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2019. "Density Forecasting," BEMPS - Bozen Economics & Management Paper Series BEMPS59, Faculty of Economics and Management at the Free University of Bozen.
  • Handle: RePEc:bzn:wpaper:bemps59
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    File URL: http://pro1.unibz.it/projects/economics/repec/bemps59.pdf
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    More about this item

    Keywords

    Density forecasting; density combinations; density evaluation; boot-strapping; Bayesian inference; Monte Carlo simulations; GPU computing;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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