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Density Forecast Evaluation
Anthony S. A. Tay
其他書名
Theory and Applications
出版University of Pennsylvania, 1997
ISBN05915017919780591501797
URLhttp://books.google.com.hk/books?id=7LxvNwAACAAJ&hl=&source=gbs_api
註釋Density forecasts, which embody a complete description of a forecaster' s view of the uncertainty concerning a variable's future value, are becoming increasingly commonplace. This dissertation is concerned with the evaluation of density forecasts. We study the properties of optimal density forecasts and propose a method for the evaluation of both univariate and multivariate density forecasts of data series that are based on these properties. This approach is applicable to data series with dynamic features. Furthermore, the method proposed is based on decision theoretic considerations and is especially appropriate in situations where the loss function is unknown. We also discuss how past forecast errors can be used to construct adjusted density forecasts that account for these errors. Other extensions discussed include evaluating h-step ahead forecasts, evaluating density forecasts under known loss functions and monitoring for structural change in the variable being forecast. Examples are used to illustrate the forecast evaluation procedure and the construction of adjusted density forecasts. These examples emphasize the density forecasting of conditionally heteroskedastic time series.