Density Forecasting

Federico Bassetti (), Roberto Casarin and Francesco Ravazzolo
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Federico Bassetti: Politecnico of Milan, Italy

No BEMPS59, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen

Abstract: This paper reviews different methods to construct density forecasts and to aggregate forecasts from many sources. Density evaluation tools to measure the accuracy of density forecasts are reviewed and calibration methods for improving the accuracy of forecasts are presented. The manuscript provides some numerical simulation tools to approximate predictive densities with a focus on parallel computing on graphical process units. Some simple examples are proposed to illustrate the methods.

Keywords: Density forecasting; density combinations; density evaluation; boot-strapping; Bayesian inference; Monte Carlo simulations; GPU computing (search for similar items in EconPapers)
JEL-codes: C10 C11 C15 C53 C63 (search for similar items in EconPapers)
Pages: [31 pages]
Date: 2019-02
New Economics Papers: this item is included in nep-ecm, nep-for, nep-ore and nep-rmg
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