The goodness of a predictive distribution depends on the aim of the prediction. This presentation intends to shed light on properties of predictive distributions in use nowadays. We also propose a new predictive distribution that may be useful to obtain calibrated predictions for the probabilities of a future random variable of interest. This predictive distribution can be easily computed by a simple bootstrap procedure. In order to compare the different predictive distributions, some simulation studies are also presented.

Probabilistic prediction: aims and solutions

Federica Giummole';
2022

Abstract

The goodness of a predictive distribution depends on the aim of the prediction. This presentation intends to shed light on properties of predictive distributions in use nowadays. We also propose a new predictive distribution that may be useful to obtain calibrated predictions for the probabilities of a future random variable of interest. This predictive distribution can be easily computed by a simple bootstrap procedure. In order to compare the different predictive distributions, some simulation studies are also presented.
Proceedings of the 36th International Workshop on Statistical Modelling
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/5004824
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