calibration, density forecast, predictive distribution, probability integral transform

Publication date: 26 Aug 2008 | Publication type: NIESR Discussion Paper | Theme: Macroeconomics | Authors: Mitchell, J | External authors: Wallis, K.F. | JEL classification: C22, C53 | NIESR discussion paper number: 320
In a recent article Gneiting, Balabdaoui and Raftery (JRSSB, 2007) propose the criterion of sharpness for the evaluation of predictive distributions or density forecasts. They motivate their proposal by an example in which standard evaluation procedures based on probability integral transforms...