Early Warning with Calibrated and Sharper Probabilistic Forecasts

Details Early Warning with Calibrated and Sharper Probabilistic Forecasts Early Warning with Calibrated and Sharper Probabilistic Forecasts

2011-12-29

arxiv.org/abs/1112.6390v3

Nonlinear Sciences

Chaotic Dynamics

23 pages, 3 figures. Accepted for publication in Journal of Forecasting

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

Early Warning with Calibrated and Sharper Probabilistic Forecasts does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Early Warning with Calibrated and Sharper Probabilistic Forecasts, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Early Warning with Calibrated and Sharper Probabilistic Forecasts will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-728727