Browsing BI Research Centre's Series by Subject "asymmetric loss"
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Proper scoring rules for evaluating asymmetry in density forecasting
(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, ...