Dynamic Probability Scoring Rules, Statistical Martingale Testing and Model Selection

Abstract

We present a novel approach for measuring the quality of a time evolving probability estimates. Examples of such probabilistic estimates are election predictions, weather predictions, or probabilities of some market events... [ view full abstract ]

Authors

  1. Jan Vecer (Charles University)

Topic Area

Econometrics

Session

MO-P-EM » Robust Finance (14:30 - Monday, 16th July, Emmet)

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