Blöchlinger, Andreas; Leippold, Markus - In: Management Science 57 (2011) 3, pp. 487-505
We develop a new goodness-of-fit test for validating the performance of probability forecasts. Our test statistic is particularly powerful under sparseness and dependence in the observed data. To build our test statistic, we start from a formal definition of calibrated forecasts, which we...