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Density Forecasting
Book chapter   Peer reviewed

Density Forecasting

F Bassetti, R Casarin and Francesco Ravazzolo
Macroeconomic Forecasting in the Area of Big Data: Theory and Practice, Vol.52, pp.465-494
Advanced studies in theoretical and applied econometrics, 52, Springer
2020
Handle:
https://hdl.handle.net/10863/18453

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.
url
https://link.springer.com/chapter/10.1007/978-3-030-31150-6_15View

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