A Kernel Score Perspective on Forecast Disagreement and the Linear Pool (opens in new tab)

arXiv:2412.09430v3 Announce Type: replace-cross Abstract: This paper generalizes several results on linear pooling from squared error loss to all kernel scores. The latter are a rich family of scoring rules that covers point and distribution forecasts for univariate and multivariate, discrete and continuous settings. Its members include the Continuous Ranked Probability Score for univariate distribution forecasting and the Energy Score for multivariate distribution forecasting. Our results in...