Backtesting forecast accuracy

Arturo Erdely

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arXiv · 1509.08036

Backtesting forecast accuracy

Arturo Erdely

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Abstract

A statistical test based on the geometric mean is proposed to determine if a predictive model should be rejected or not, when the quantity of interest is a strictly positive continuous random variable. A simulation study is performed to compare test power performance against an alternative procedure, and an application to insurance claims reserving is illustrated.

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Arturo Erdely. 2015-10-26. Backtesting forecast accuracy. https://arxiv.org/abs/1509.08036

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