Evaluating Density Forecasting Models
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Technical ReportDate:
2006-05-02Citation:
Carney, Michael; Cunningham, Padraig. 'Evaluating Density Forecasting Models'. - Dublin, Trinity College Dublin, Department of Computer Science, TCD-CS-2006-21, 2006, pp12Download Item:
TCD-CS-2006-21.pdf (PDF) 167.2Kb
Abstract:
Density forecasting in regression is gaining popularity as real world
applications demand an estimate of the level of uncertainty in predictions. In
this paper we describe the two goals of density forecasting1 sharpness and calibration.
We review the evaluation methods available to a density forecaster to
assess each of these goals and we introduce a new evaluation method that allows
modelers to compare and evaluate their models across both of these goals
simultaneously and identify the optimal model.
Author: Carney, Michael; Cunningham, Padraig
Publisher:
Trinity College Dublin, Department of Computer ScienceType of material:
Technical ReportCollections:
Series/Report no:
Computer Science Technical ReportTCD-CS-2006-21
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Computer ScienceLicences: