Assessment of probabilistic forecasts: Proper scoring rules and moments

The 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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Year of publication:	2012
Authors:	Tsyplakov, Alexander
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 27.2012, 3, p. 115-132
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	probabilistic forecast \| forecast calibration \| probability integral transform \| scoring rule

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Extent:	application/pdf
Type of publication:	Article
Classification:	c18 ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010841050