Evaluating Density Forecasts

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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Authors:	Diebold, Francis X. ; Gunther, Todd A. ; Tay, Anthony S.
Institutions:	Center for Analytic Research and Economics in the Social Sciences (CARESS), Department of Economics

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Extent:	application/pdf
Series:	CARESS Working Papres.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005794219