This chapter reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript provides some numerical simulation tools to approximate predictive densities with a focus on parallel computing on graphical process units. Some simple examples are proposed to illustrate the methods.

Density Forecasting

Bassetti F.;
2020-01-01

Abstract

This chapter reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript provides some numerical simulation tools to approximate predictive densities with a focus on parallel computing on graphical process units. Some simple examples are proposed to illustrate the methods.
2020
MACROECONOMIC FORECASTING IN THE ERA OF BIG DATA: THEORY AND PRACTICE
978-3-030-31149-0
978-3-030-31150-6
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1150346
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