论文标题
关于概率评估的汇总：欧元区通货膨胀和实际利率预测密度的正则混合物
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
论文作者
论文摘要
我们提出了构建密度预测的正则混合物的方法。我们探讨了各种目标和正规化的惩罚，并将其用于对欧元区通货膨胀和实际利率密度预测的实质性探索。所有个人通货膨胀预测者（甚至是EX Post最佳预测者）都胜过我们的正规混合物。从大衰退开始，最佳正则化倾向于将密度预测的概率质量从中心移动到尾部，从而纠正过度自信。
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence.
