Browsing BI Open by Author "Iacopini, Matteo"
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Proper scoring rules for evaluating asymmetry in density forecasting
Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;06/2020, Working paper, 2020-09-01)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 version, which emphasizes regions of interest, ... -
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
Iacopini, Matteo; Ravazzolo, Francesco; Rossini, Luca (Peer reviewed; Journal article, 2022)This article proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It generalizes the proposed score and defines a weighted version, which emphasizes regions of ...