EconPapers    
Economics at your fingertips  
 

Evaluating density forecasts: a comment

Alexander Tsyplakov

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
Date: 2011-05-30
New Economics Papers: this item is included in nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/31184/1/MPRA_paper_31184.pdf original version (application/pdf)
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)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31184

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2021-07-09
Handle: RePEc:pra:mprapa:31184