27 citations · 74 across the 13 of their papers we have counts for
3 papers · 1 filter
ABC-based Forecasting in State Space Models
Chaya Weerasinghe, Ruben Loaiza-Maya, Gael M. Martin +1
Approximate Bayesian Computation (ABC) has gained popularity as a method for conducting inference and forecasting in complex models, most notably those which are intractable in som…
Solving the Forecast Combination Puzzle
David T. Frazier, Ryan Covey, Gael M. Martin +1
We demonstrate that the forecasting combination puzzle is a consequence of the methodology commonly used to produce forecast combinations. By the combination puzzle, we refer to th…
Optimal probabilistic forecasts for risk management
Yuru Sun, Worapree Maneesoonthorn, Ruben Loaiza-Maya +1
This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management. We assess the…