Combining predictive distributions

DOI10.1214/13-EJS823zbMath1294.62220arXiv1106.1638OpenAlexW2964208955MaRDI QIDQ351688

Tilmann Gneiting, Roopesh Ranjan

Publication date: 9 July 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.1638

zbMATH Keywords

probability integral transformdensity forecastbeta transformconditional calibrationflexibly dispersiveforecast aggregationlinear poolprobabilistic calibration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Decision theory (91B06) Financial applications of other theories (91G80)

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Uses Software

• R
• RMetrics
• fGarch

Cites Work

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