تقرير
Early Warning with Calibrated and Sharper Probabilistic Forecasts
| العنوان: | Early Warning with Calibrated and Sharper Probabilistic Forecasts |
|---|---|
| المؤلفون: | Machete, Reason Lesego |
| سنة النشر: | 2011 |
| المجموعة: | Nonlinear Sciences Quantitative Finance Statistics |
| مصطلحات موضوعية: | Nonlinear Sciences - Chaotic Dynamics, Quantitative Finance - Risk Management, Statistics - Applications, 86A10, 86A32, 91B02, 91B06, 91B30, 91B55, 91B64, 91B74, 91B82, 91B84 |
| الوصف: | Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting density forecasts will inevitably be downgraded by model mis-specification. In order to enhance the quality of the density forecasts, one can mix them with the unconditional density. This paper examines the value of combining conditional density forecasts with the unconditional density. The findings have positive implications for issuing early warnings in different disciplines including economics and meteorology, but UK inflation forecasts are considered as an example. Comment: 23 pages, 3 figures. Accepted for publication in Journal of Forecasting |
| نوع الوثيقة: | Working Paper |
| الوصول الحر: | http://arxiv.org/abs/1112.6390Test |
| رقم الانضمام: | edsarx.1112.6390 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |