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econ.EM2024
A Kernel Score Perspective on Forecast Disagreement and the Linear Pool
Fabian Krüger
This paper generalizes several results on linear pooling from squared error loss to all kernel scores. The latter are a rich family of scoring rules that covers point and distribut…
econ.EM2022
Score-based calibration testing for multivariate forecast distributions
Malte Knüppel, Fabian Krüger, Marc-Oliver Pohle
Calibration tests based on the probability integral transform (PIT) are routinely used to assess the quality of univariate distributional forecasts. However, PIT-based calibration…