Evaluating density forecasts: a comment
MPRA Paper from University Library of Munich, Germany
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.
Keywords: density; forecasts (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
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https://mpra.ub.uni-muenchen.de/31233/1/MPRA_paper_31233.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/32728/1/MPRA_paper_32728.pdf revised version (application/pdf)
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