Bayesian Calibration of Generalized Pools of Predictive Distributions

Bayesian Calibration of Generalized Pools of Predictive Distributions

Decision-makers often consult different experts to build reliable forecasts on variables of interest. Combining more opinions and calibrating them to maximize the forecast accuracy is consequently a crucial issue in several economic problems. This paper applies a Bayesian beta mixture model to deriv...

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Bibliographic Details
Main Authors: Roberto Casarin, Giulia Mantoan, Francesco Ravazzolo
Format: Article
Language:English
Published: MDPI AG 2016-03-01
Series:Econometrics
Subjects:
forecast calibration
forecast combination
density forecast
beta mixtures
Bayesian inference
MCMC sampling
Online Access:http://www.mdpi.com/2225-1146/4/1/17

Internet

http://www.mdpi.com/2225-1146/4/1/17

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