Asymptotic variance of Brier (skill) score in the presence of serial correlation
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Publication:1668186
DOI10.1016/j.econlet.2015.09.022zbMath1398.62370OpenAlexW3121891327MaRDI QIDQ1668186
Publication date: 3 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://www.cesifo.org/DocDL/cesifo1_wp5290.pdf
serial correlationprobability forecastsBrier scoresurvey of professional forecastersBrier skill score
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Testing Dependence Among Serially Correlated Multicategory Variables
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