Combining predictive distributions

DOI10.1214/13-EJS823zbMath1294.62220arXiv1106.1638MaRDI 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 transform; density forecast; beta transform; conditional calibration; flexibly dispersive; forecast aggregation; linear pool; probabilistic calibration

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62P12: Applications of statistics to environmental and related topics

91B06: Decision theory

91G80: Financial applications of other theories

Uses Software

• R
• RMetrics
• fGarch