Working Paper
Evaluating density forecasts
Tay, Anthony S.; Gunther, Todd A.; Diebold, Francis X. (1997)
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 ...
Working Papers , Paper 97-6