Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments
MPRA Paper from University Library of Munich, Germany
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.
Keywords: probabilistic forecast; forecast calibration; probability integral transform; scoring rule; moment condition (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:45186
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