A joint calibration model for combining predictive distributions

AGATI, PATRIZIA; Dipartimento Di Scienze Statistiche “P. Fortunati” - Università Di Bologna, CALÒ, DANIELA GIOVANNA; Dipartimento Di Scienze Statistiche “P. Fortunati” - Università Di Bologna & STRACQUALURSI, LUISA; Dipartimento Di Scienze Statistiche “P. Fortunati” - Università Di Bologna
In many research fields, as for example in probabilistic weather forecasting, valuable predictive information about a future random phenomenon may come from several, possibly heterogeneous, sources. Forecast combining methods have been developed over the years in order to deal with ensembles of sources: the aim is to combine several predictions in such a way to improve forecast accuracy and reduce risk of bad forecasts.In this context, we propose the use of a Bayesian approach to...