Thursday, February 3, 2022

Density Forecast Calibration

This nice paper by Alexander Tsyplakov, "Evaluation of Probabilistic Forecasts: Conditional Auto-calibration," has lots of interesting thoughts on concepts of density forecast calibration and relationships among them.  Good up-to-date reference list as well, including key work by Raftery, Gneiting, etc.  See also this earlier post

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