ORCID Profile
0000-0002-4605-0834
Current Organisations
University of Mons
,
Monash University
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Publisher: Elsevier BV
Date: 04-2014
Publisher: IEEE
Date: 06-2015
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Date: 24-07-2023
Abstract: Evaluating Forecasts of Multivariate Probability Distributions Forecasts of multivariate probability distributions are required for a variety of applications. The availability of a score for a forecast is important for evaluating prediction accuracy, as well as estimating model parameters. In “Scores for Multivariate Distributions and Level Sets,” X. Meng, J. W. Taylor, S. Ben Taieb, and S. Li propose a theoretical framework that encompasses several existing scores for multivariate distributions and can be used to generate new scores. In some multivariate contexts, a forecast of a level set is needed, such as a density level set for anomaly detection or the level set of the cumulative distribution, which can be used as a measure of risk. This motivates consideration of scores for level sets. The authors show that such scores can be obtained by decomposing the scores developed for multivariate distributions. A simple numerical algorithm is presented to compute the scores, and practical applications are provided in the contexts of conditional value-at-risk for financial data and the combination of expert macroeconomic forecasts.
Publisher: IEEE
Date: 06-2009
Publisher: Elsevier BV
Date: 07-2011
Publisher: Springer Berlin Heidelberg
Date: 2013
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 2016
Publisher: IEEE
Date: 12-2011
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 09-2016
Publisher: Elsevier BV
Date: 06-2010
Publisher: Springer Berlin Heidelberg
Date: 2013
Publisher: Elsevier BV
Date: 06-2012
Publisher: Elsevier BV
Date: 02-2012
Location: No location found
Location: Saudi Arabia
No related grants have been discovered for Souhaib Ben Taieb.