CEIS-Tor Vergata is pleased to inform you that, on Friday November 9th, 2012 at 12.00 pm, prof. James Mitchell (Warwick University) will present a paper on “Recalibrated opinion pools” The Seminar will be held at the Faculty of Economics, University of Rome "Tor Vergata", B-building, 1° floor, room B Please, go to www.ceistorvergata.it for the complete list of seminars and events at CEIS. How to reach us: http://web.uniroma2.it/mobilita/index.html http://www.economia.uniroma2.it/area.asp?a=867 ABSTRACT This paper develops methods for combining density forecasts which accommodate stochastic dependence between different forecasters' predictions. Previous work combining density forecasts, using so-called "opinion pools", has essentially ignored dependence. The proposed basis for modelling the dependence among different forecasters' density forecasts is a re-calibration function, based on the probability integral transforms of the component densities. This reduces to a copula function in a special case. We explore the properties of various approximations to the re-calibration function in Monte-Carlo simulations and in an application density forecasting UK GDP growth. We find that the recalibrated opinion pool can deliver more accurate densities than traditional linear and logarithmic opinion pools. Barbara Piazzi __________ Informazioni da ESET NOD32 Antivirus, versione del database delle firme digitali 7661 (20121105) __________ Il messaggio è stato controllato da ESET NOD32 Antivirus. www.nod32.it |
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