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Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions

This article proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It generalizes the proposed score and defines a weighted version, which emphasizes regions of interest, such as the tails or the center of a variable’s range. The (weighted) ACPS extends the symmetric (weighted) CRPS by allowing for asymmetries in the preferences underlying the scoring rule. A test is used to statistically compare the predictive ability of different forecasts. The ACPS is of general use in any situation where the decision-maker has asymmetric preferences in the evaluation of the forecasts. In an artificial experiment, the implications of varying the level of asymmetry in the ACPS are illustrated. Then, the proposed score and test are applied to assess and compare density forecasts of macroeconomic relevant datasets (U.S. employment growth) and of commodity prices (oil and electricity prices) with particular focus on the recent COVID-19 crisis period.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF BUSINESS & ECONOMIC STATISTICS; Vol.41, No. 2, April 2023

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 482-496

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

ASYMMETRIC LOSS
WEIGHTED SCORE
DENSITY FORECAST
PREDICTIVE DISTRIBUTION
PROBABILISTIC FORECAST
ASYMMETRIC CONTINUOUS PROBABILISTIC SCORE
PROPER SCORE

Info Detail Spesifik

https://doi.org/10.1080/07350015.2022.2035229

Pernyataan Tanggungjawab

Matteo, Iacopini, Francesco Ravazzolo, Luca Rossini

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