Evaluating Density Forecasts

Francis Diebold, Todd A. Gunther and Anthony S Tay ()

CARESS Working Papres from University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences

Abstract: We propose several methods for evaluating and improving density forecasts. We focus primarily on methods that are applicable regardless of the particular user s loss function, but we also show how to use information about the loss function when and if it is known. Throughout, we take explicit account of the relationships between density forecasts, action choices, and the corresponding expected loss.

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Related works:
Working Paper: Evaluating density forecasts (1997)
Working Paper: Evaluating Density Forecasts (1997)
Working Paper: Evaluating Density Forecasts (1997)
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