Evaluation of Probabilistic Forecasts : Proper Scoring Rules and Moments

The paper provides an overview of probabilistic forecasting and discusses a theoretical framework for evaluation of probabilistic forecasts which is based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting the RTSI stock index are used as illustrations

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Year of publication:	2013
Authors:	Tsyplakov, Alexander
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Prognoseverfahren \| Forecasting model \| Wahrscheinlichkeitsrechnung \| Probability theory

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