Journal of Business and Economic Statistics · 2010 · 509 citations · 31 references
Natural SciencesEconomicsMeteorologyForecastingStatisticsWeather ForecastingForecast EvaluationForecasting MethodsProbabilistic ForecastingTime Series ForecastingWind ForecastingContinuous Ranked Probability ScoreDensity Forecast EvaluationForecast Comparison TestsInflation ForecastingLikelihood Ratio TestingProbability Forecast Scoring RulesQuantile ForecastingScoring 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 continuous ranked probability score can be illustrated graphically and provide insight into the strengths and deficiencies of a forecasting method. We illustrate the use of the test and graphical tools in case studies on the Bank of England’s density forecasts of quarterly inflation rates in the United Kingdom, and probabilistic predictions of wind resources in the Pacific Northwest.
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
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Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 2.4K citations