相关论文: Comparing predictive ability in presence of instab…

We develop a novel continuous-time asymptotic framework for inference on whether the predictive ability of a given forecast model remains stable over time. We formally define forecast instability from the economic forecaster's perspective…

Forecasting the evolution of complex systems is one of the grand challenges of modern data science. The fundamental difficulty lies in understanding the structure of the observed stochastic process. In this paper, we show that every…

Electricity systems are experiencing increased effects of randomness and variability due to emerging stochastic assets. The increased effects introduce new uncertainties into power systems that can impact system operability and reliability.…

Loss functions are widely used to compare several competing forecasts. However, forecast comparisons are often based on mismeasured proxy variables for the true target. We introduce the concept of exact robustness to measurement error for…

We demonstrate that the forecasting combination puzzle is a consequence of the methodology commonly used to produce forecast combinations. By the combination puzzle, we refer to the empirical finding that predictions formed by combining…

Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…

This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…

We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely $S$-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on…

Cross-validation (CV) is known to provide asymptotically exact tests and confidence intervals for model improvement but only when the model comparison is relatively stable. Surprisingly, we prove that even simple, individually stable models…

On the basis of an analysis of previous research, we present a generalized approach for measuring the difference of plans with an exemplary application to machine scheduling. Our work is motivated by the need for such measures, which are…

A long noted difficulty when assessing the reliability (or calibration) of forecasting systems is that reliability, in general, is a hypothesis not about a finite dimensional parameter but about an entire functional relationship. A…

Short-term forecasts of infectious disease spread are a critical component in risk evaluation and public health decision making. While different models for short-term forecasting have been developed, open questions about their relative…

In this note we study the numerical stability problem that may take place when calculating the cumulative distribution function of the {\it Hypoexponential} random variable. This computation is extensively used during the execution of Monte…

Forecast evaluation plays a key role in how empirical evidence shapes the development of the discipline. Domain experts are interested in error measures relevant for their decision making needs. Such measures may produce unreliable results.…

We propose a new framework for assessing Granger causality in quantiles in unstable environments, for a fixed quantile or over a continuum of quantile levels. Our proposed test statistics are consistent against fixed alternatives, they have…

This paper presents a new way to account for downside and upside risks when producing density nowcasts of GDP growth. The approach relies on modelling location, scale and shape common factors in real-time macroeconomic data. While movements…

This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confidence sets for parameters are level sets of criterion functions whose boundary points may depend…

Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…

During the COVID-19 pandemic, a massive number of attempts on the predictions of the number of cases and the other future trends of this pandemic have been made. However, they fail to predict, in a reliable way, the medium and long term…

Comparative evaluation of forecasts of statistical functionals relies on comparing averaged losses of competing forecasts after the realization of the quantity $Y$, on which the functional is based, has been observed. Motivated by…