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Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments

Alexander Tsyplakov

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
Date: 2013-03-18
New Economics Papers: this item is included in nep-ecm and nep-for
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