Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
نویسندگان
چکیده
منابع مشابه
Comparing Density Forecasts Using Threshold and Quantile Weighted Scoring Rules
We propose a method for comparing density forecasts that is based on weighted versions of the continuous ranked probability score. The weighting emphasizes regions of interest, such as the tails or the center of a variable’s range, while retaining propriety, as opposed to a recently developed weighted likelihood ratio test, which can be hedged. Threshold and quantile based decompositions of the...
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De Finetti introduced the concept of coherent previsions and conditional previsions through a gambling argument and through a parallel argument based on a quadratic scoring rule. He shows that the two arguments lead to the same concept of coherence. When dealing with events only, there is a rich class of scoring rules which might be used in place of the quadratic scoring rule. We give condition...
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We propose new scoring rules based on partial likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules are proper and can be interpreted in terms of Kullback-Leibler divergence between weighted versions of the density forecast and the true density. Existing scoring ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2011
ISSN: 0735-0015,1537-2707
DOI: 10.1198/jbes.2010.08110