Assessing point forecast accuracy by stochastic loss distance

被引：5
|
作者：
Diebold, Francis X. [1 ]
Shin, Minchul [1 ]
机构：
[1] Univ Penn, Philadelphia, PA 19104 USA
来源：
ECONOMICS LETTERS | 2015年 / 130卷
关键词：
Forecast evaluation; Forecast ranking; Expected loss; Absolute-error loss; Quadratic loss; Squared-error loss;
D O I：
10.1016/j.econlet.2015.02.018
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We explore the evaluation (ranking) of point forecasts by a "stochastic loss distance" (SLD) criterion, under which we prefer forecasts with loss distributions F(L(e)) "close" to the unit step function at 0. We show that, surprisingly, ranking by SLD corresponds to ranking by expected loss. (C) 2015 Elsevier B.V. All rights reserved.
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页码：37 / 38
页数：2
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