This paper 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

Casarin, R.;
2020

Abstract

This paper 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.
Macroeconomic Forecastingin the Era of Big Data
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/3722914
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