Evaluating density forecasts: a comment

This 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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Year of publication:	2011-05-30
Authors:	Tsyplakov, Alexander
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	density forecasts

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C53 - Forecasting and Other Model Applications ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009203608