This contribution studies a calibration approach for predictive densities based on generalized scoring rules. We consider a set of simulated experiments in order to study the effectiveness of the method
Density calibration with consistent scoring functions
Casarin R.;Ravazzolo F.
2021-01-01
Abstract
This contribution studies a calibration approach for predictive densities based on generalized scoring rules. We consider a set of simulated experiments in order to study the effectiveness of the method
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