Diks, Cees G. H. (contributor); … - 2008
prediction, including
the variables Xt, the econometric model (if any), and the estimation method. The only
requirement that we … observations is used for parameter estimation.
Intuitively, the logarithmic scoring rule is closely related to information … Shortfall estimation, an accurate description of the left tail of
the distribution obviously is of crucial importance. In that …