5 papers
Angular Combining of Forecasts of Probability Distributions
James W. Taylor, Xiaochun Meng
When multiple forecasts are available for a probability distribution, forecast combining enables a pragmatic synthesis of the information to extract the wisdom of the crowd. The li…
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Carol Alexander, Michael Coulon, Yang Han +1
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts. Given an observation they assign a scalar score to each distribution forecast, with th…
Static and Dynamic Models for Multivariate Distribution Forecasts: Proper Scoring Rule Tests of Factor-Quantile vs. Multivariate GARCH Models
Carol Alexander, Yang Han
A plethora of static and dynamic models exist to forecast Value-at-Risk and other quantile-related metrics used in financial risk management. Industry practice tends to favour simp…
Targetting Kollo Skewness with Random Orthogonal Matrix Simulation
Carol Alexander, Xiaochun Meng, Wei Wei
Modelling multivariate systems is important for many applications in engineering and operational research. The multivariate distributions under scrutiny usually have no analytic or…
Scores for Multivariate Distributions and Level Sets
Xiaochun Meng, James W. Taylor, Souhaib Ben Taieb +1
Forecasts of multivariate probability distributions are required for a variety of applications. Scoring rules enable the evaluation of forecast accuracy, and comparison between for…