Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
نویسندگان
چکیده
منابع مشابه
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
We propose new scoring rules based on partial likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. These scoring rules are proper and can be interpreted in terms of Kullback-Leibler divergence between weighted versions of the density forecast and the true density. Existing scoring ...
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We propose new scoring rules based on conditional and censored likelihood for assessing the predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial riskmanagement. These scoring rules can be interpreted in terms of Kullback–Leibler divergence between weighted versions of the density forecast and the true density. Existing scoring...
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We propose and evaluate several new scoring rules based on likelihood ratios, for comparing density forecasts in the context of VaR modelling and expected loss estimation. Our approach is motivated by the observation that some existing weighted scoring rules tend to favour fat-tailed predictive densities over thin-tailed predictive densities. Rather than restricting the weight functions, we imp...
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We propose a method for comparing density forecasts that is based on weighted versions of the continuous ranked probability score. The weighting emphasizes regions of interest, such as the tails or the center of a variable’s range, while retaining propriety, as opposed to a recently developed weighted likelihood ratio test, which can be hedged. Threshold and quantile based decompositions of the...
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Proper scoring rules provide a theoretically principled framework for the quantitative assessment of the predictive performance of probabilistic forecasts. While a wide selection of such scoring rules for univariate quantities exists, there are only few scoring rules for multivariate quantities, and many of them require that forecasts are given in the form of a probability density function. The...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1135531