Tales from tails: On the empirical distributions of forecasting errors and their implication to risk
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2018.10.004
Abstract: Abstract When evaluating the performances of time series extrapolation methods, both researchers and practitioners typically focus on the average or median performance according to some specific error metric, such as the absolute error or the… read more here.
Keywords: empirical distributions; tails empirical; tales tails; error ... See more keywords