9 citations · 20 across the 11 of their papers we have counts for
3 papers · 1 filter
Robust estimation for Threshold Autoregressive Moving-Average models
Greta Goracci, Davide Ferrari, Simone Giannerini +1
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. Howev…
Proper scoring rules for evaluating asymmetry in density forecasting
Matteo Iacopini, Francesco Ravazzolo, Luca Rossini
This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted ve…
Forecaster's Dilemma: Extreme Events and Forecast Evaluation
Sebastian Lerch, Thordis L. Thorarinsdottir, Francesco Ravazzolo +1
In public discussions of the quality of forecasts, attention typically focuses on the predictive performance in cases of extreme events. However, the restriction of conventional fo…