Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments
21 Pages Posted: 21 Mar 2013
Date Written: March 18, 2013
The paper provides an overview of probabilistic forecasting and discusses a theoretical framework for evaluation of probabilistic forecasts which is based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting the RTSI stock index are used as illustrations.
Keywords: probabilistic forecast, forecast calibration, probability integral transform, scoring rule, moment condition
JEL Classification: C53, C52
Suggested Citation: Suggested Citation