On efficient probability forecasting systems
We study the asymptotic behaviour of probability forecasting systems, and discuss their usefulness as inferential tools for statistical problems such as model verification and selection. Our theoretical setting is the prequential, or predictive sequential, framework proposed by Dawid (1984). We stud...
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| Veröffentlicht in: | Biometrika 1999-12, Vol.86 (4), p.765-784 |
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| Hauptverfasser: | , |
| Format: | Artikel |
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| container_end_page | 784 |
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| container_issue | 4 |
| container_start_page | 765 |
| container_title | Biometrika |
| container_volume | 86 |
| creator | Skouras, K Dawid, AP |
| description | We study the asymptotic behaviour of probability forecasting systems, and discuss their usefulness as inferential tools for statistical problems such as model verification and selection. Our theoretical setting is the prequential, or predictive sequential, framework proposed by Dawid (1984). We study especially the notion of prequential efficiency of a forecasting system and present some new results. We focus on plug-in, or estimative, forecasting systems, where the forecast distribution is generated by replacing the unknown parameter with an estimate. |
| doi_str_mv | 10.1093/biomet/86.4.765 |
| format | Article |
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| ispartof | Biometrika, 1999-12, Vol.86 (4), p.765-784 |
| issn | 0006-3444 1464-3510 |
| language | eng |
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| source | JSTOR Mathematics & Statistics; Jstor Complete Legacy; Oxford University Press Journals All Titles (1996-Current) |
| subjects | Bayesian forecasting system Efficiency Efficiency metrics estimative predictive distribution Estimators Exact sciences and technology Forecasting Forecasting models Mathematical foundations Mathematics Maximum likelihood estimators Performance evaluation plug-in predictive distribution Point forecasts predictive inference prequential inference Probabilities Probability and statistics Probability forecasts Sciences and techniques of general use statistical forecasting system Statistical forecasts Statistical theories Statistical variance Statistics Validity |
| title | On efficient probability forecasting systems |
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