Examinando por Autor "T.Frazier, David"

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    Optimal probabilistic forecast: when do they work?
    (Universidad EAFIT, 2021-08-12) Martin, Gael M.; Loaiza Maya, Rubén; Maneesoonthorn, Worapree; T.Frazier, David; Ramírez Hassan, Andrés; Universidad EAFIT; Escuela de Finanzas, Economía y Gobierno; Valor Público EAFIT
    They use simulation exercises to check the predictive performance of single parametric models, and forecasts produced by linear combinations of predictive distributions to document several novel findings within this paradigm that highlight the important interplay between the true data generating process, the assumed predictive model and the scoring rule''.