2 papers
econ.EM2020
Optimal probabilistic forecasts: When do they work?
Gael M. Martin, Rubén Loaiza-Maya, David T. Frazier +2
Proper scoring rules are used to assess the out-of-sample accuracy of probabilistic forecasts, with different scoring rules rewarding distinct aspects of forecast performance. Here…
stat.AP2017
Time Series Copulas for Heteroskedastic Data
Rubén Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher…