Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments

21 Pages Posted: 21 Mar 2013

See all articles by Alexander Tsyplakov

Alexander Tsyplakov

Novosibirsk State University - Department of Economics

Date Written: March 18, 2013

Abstract

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

Tsyplakov, Alexander, Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments (March 18, 2013). Available at SSRN: https://ssrn.com/abstract=2236605 or http://dx.doi.org/10.2139/ssrn.2236605

Alexander Tsyplakov (Contact Author)

Novosibirsk State University - Department of Economics ( email )

2 Pirogova Street
Novosibirsk 630090
Russia

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