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Articles

Optimal probabilistic forecasts: When do they work?

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By Gaël Martin, David Frazier, Ruben Loaiza-Maya, Worapree Maneesoonthorn
| ideas.repec.org
Author Listed: Ruben Loaiza-Maya () Gael M. Martin () David T. Frazier () Worapree Maneesoonthorn () Andres Ramirez Hassan Abstract Proper scoring rules are used to assess the out-of-sample accuracy of probabilistic forecasts, with different scoring rules rewarding distinct aspects of forecast performance.
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