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 can provide further insights into the theory and practice of of probabilistic forecasting

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Year of publication:	2011
Authors:	Tsyplakov, Alexander
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Statistische Methodenlehre \| Statistical theory \| Statistische Verteilung \| Statistical distribution

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