Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
From MaRDI portal
Publication:6149861
DOI10.1080/07350015.2022.2035229OpenAlexW4210512168MaRDI QIDQ6149861
Luca Rossini, Matteo Iacopini, Francesco Ravazzolo
Publication date: 5 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07350015.2022.2035229
probabilistic forecastpredictive distributionweighted scoredensity forecastasymmetric lossproper scoreasymmetric continuous probabilistic score
Cites Work
- Unnamed Item
- Unnamed Item
- Making and Evaluating Point Forecasts
- The Model Confidence Set
- Combining predictive distributions
- Likelihood-based scoring rules for comparing density forecasts in tails
- A general method for comparing probability assessors
- Forecaster's dilemma: extreme events and forecast evaluation
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Optimal forecast combinations under general loss functions and forecast error distributions
- Conditional predictive density evaluation in the presence of instabilities
- Fiscal forecasting: The track record of the IMF, OECD and EC
- Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
- Estimation and Testing of Forecast Rationality under Flexible Loss
- Testing Forecast Optimality Under Unknown Loss
- Scoring Rules for Continuous Probability Distributions
- Evaluating Probabilities: Asymmetric Scoring Rules
- Asymptotic Inference about Predictive Ability
- Diverging Tests of Equal Predictive Ability
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Elicitation of Personal Probabilities and Expectations
- Tests of equal forecast accuracy and encompassing for nested models
- Evaluating forecast performance with state dependence
This page was built for publication: Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
