Backtesting forecast accuracy
Methodology
2015-10-27 v2
Abstract
A statistical test based on the geometric mean is proposed to determine if a predictive model should be rejected or not, when the quantity of interest is a strictly positive continuous random variable. A simulation study is performed to compare test power performance against an alternative procedure, and an application to insurance claims reserving is illustrated.
Cite
@article{arxiv.1509.08036,
title = {Backtesting forecast accuracy},
author = {Arturo Erdely},
journal= {arXiv preprint arXiv:1509.08036},
year = {2015}
}
Comments
10 pages, 5 figures, 1 table