Event

Alexander J. McNeil, University of York

Friday, September 29, 2017 14:30to15:30
Burnside Hall Room 1205, 805 rue Sherbrooke Ouest, Montreal, QC, H3A 0B9, CA

Spectral Backtests of Forecast Distributions with Application to Risk Management.

In this talk we study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modelled probability level. The choice of the kernel function makes explicit the user’s priorities for model performance. The class of spectral backtests includes tests of unconditional coverage and tests of conditional coverage. We show how the class embeds a wide variety of backtests in the existing literature, and propose novel variants as well. We assess the size and power of the backtests in realistic sample sizes, and in particular demonstrate the tradeoff between power and specificity in validating quantile forecasts.
  
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