Arbeitspapier
Evaluating the calibration of multi-step-ahead density forecasts using raw moments
The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally burdensome, ignore important information and therefore lack power, or suffer from size distortions even asymptotically. In this work, a fourth testing approach based on raw moments is proposed. It is easy to implement, uses standard critical values, can include all moments regarded as important, and has correct asymptotic size. It is found to have good size and power properties if it is based directly on the (standardized) probability integral transforms.
- ISBN
-
978-3-86558-773-2
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2011,32
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
-
density forecast evaluation
normality tests
Prognoseverfahren
Statistischer Test
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Knüppel, Malte
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Knüppel, Malte
- Deutsche Bundesbank
Entstanden
- 2011
Ähnliche Objekte (12)
Evaluating the calibration of multi-step-ahead density forecasts using raw moments
Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
One step ahead : memoirs 1939 - 1950
Online multistep-ahead inundation depth forecasts by recurrent NARX networks
The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
Step by Step – A Quarterly Evaluation of EU Commission‘s GDP Forecasts
Automated ANN alerts : one step ahead with mobile support
Automated ANN alerts: one step ahead with mobile support
Leveraging multi-model season-ahead streamflow forecasts to trigger advanced flood preparedness
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Calibration of sea ice drift forecasts using random forest algorithms
Calibration of sea ice drift forecasts using random forest algorithms
Evaluating the calibration of multi-step-ahead density forecasts using raw moments
Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
One step ahead : memoirs 1939 - 1950
Online multistep-ahead inundation depth forecasts by recurrent NARX networks
The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
Step by Step – A Quarterly Evaluation of EU Commission‘s GDP Forecasts
Automated ANN alerts : one step ahead with mobile support
Automated ANN alerts: one step ahead with mobile support
Leveraging multi-model season-ahead streamflow forecasts to trigger advanced flood preparedness
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Calibration of sea ice drift forecasts using random forest algorithms
Calibration of sea ice drift forecasts using random forest algorithms
Evaluating the calibration of multi-step-ahead density forecasts using raw moments
Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations
One step ahead : memoirs 1939 - 1950
Online multistep-ahead inundation depth forecasts by recurrent NARX networks
The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
Step by Step – A Quarterly Evaluation of EU Commission‘s GDP Forecasts
Automated ANN alerts : one step ahead with mobile support
Automated ANN alerts: one step ahead with mobile support
Leveraging multi-model season-ahead streamflow forecasts to trigger advanced flood preparedness
Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Calibration of sea ice drift forecasts using random forest algorithms