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Assessment of probabilistic forecasts: Proper scoring rules and moments

Alexander Tsyplakov

Applied Econometrics, 2012, vol. 27, issue 3, 115-132

Abstract: 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.

Keywords: probabilistic forecast; forecast calibration; probability integral transform; scoring rule (search for similar items in EconPapers)
JEL-codes: C18 C53 (search for similar items in EconPapers)
Date: 2012
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