Optimal probabilistic forecast: when do they work?
Fecha
2021-08-12
Autores
Martin, Gael M.
Loaiza Maya, Rubén
Maneesoonthorn, Worapree
T.Frazier, David
Ramírez Hassan, Andrés
Título de la revista
ISSN de la revista
Título del volumen
Editor
Universidad EAFIT
Resumen
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''.