Assessing point forecast accuracy by stochastic loss distance

We explore the evaluation (ranking) of point forecasts by a “stochastic loss distance” (SLD) criterion, under which we prefer forecasts with loss distributions F(L(e)) “close” to the unit step function at 0. We show that, surprisingly, ranking by SLD corresponds to ranking by expected loss.

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Year of publication:	2015
Authors:	Diebold, Francis X. ; Shin, Minchul
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 130.2015, C, p. 37-38
Publisher:	Elsevier
Subject:	Forecast evaluation \| Forecast ranking \| Expected loss \| Absolute-error loss \| Quadratic loss \| Squared-error loss

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Type of publication:	Article
Classification:	C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263440