Evaluating Distributional Forecasts

Questions and discussions on Time Series Analysis

Re: Evaluating Distributional Forecasts

Unread postby TomDoan » Tue Jul 05, 2022 7:53 am

If your simulations are coming in with similar results to the analytical forecasts, then the "directional accuracy" should also have similar results. If they don't, then you are probably doing the calculation wrong when inferring directional accuracy from the analytical results.
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Re: Evaluating Distributional Forecasts

Unread postby TomDoan » Thu Jul 14, 2022 10:46 pm

I would note that one of the methods you are using is Normal simulations. Given a high enough number of simulations, that should converge to the "analytical" solutions. Normal simulations are useful if you are doing something that requires calculations across forecast horizons (such as, P(min value < x over range [t0,t1]), but for looking only at single forecasts will differ from analytical values only by experimental errors.
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