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Federal Reserve Bank of Philadelphia
Working Papers
Evaluating density forecasts
Francis X. Diebold
Todd A. Gunther
Anthony S. Tay

The authors propose methods for evaluating and improving density forecasts. They focus primarily on methods that are applicable regardless of the particular user's loss function, though they take explicit account of the relationships between density forecasts, action choices, and the corresponding expected loss throughout. They illustrate the methods with a detailed series of examples, and they discuss extensions to improving and combining suboptimal density forecasts, multistep-ahead density forecast evaluation, multivariate density forecast evaluation, monitoring for structural change and its relationship to density forecasting, and density forecast evaluation with known loss function.

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Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, Evaluating density forecasts, Federal Reserve Bank of Philadelphia, Working Papers 97-6, 1997.
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Keywords: Forecasting
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