Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts*
提出一种构建扇形图的方法，在非对称损失下仍能保持精确的联合覆盖，同时保留传统扇形图的直观性，并以美国GDP增长率的贝叶斯预测为例展示差异。
Abstract Ordinary fan charts consist of symmetric marginal forecast intervals, and do not take into consideration the concrete loss function of the user of the forecast. The note shows how to build fan charts that have exact joint coverage even under asymmetric loss, and maintain at the same time the intuition conveyed by ordinary fan charts. The proposed method is computationally simple, and easily implemented with any loss function. The differences between the information conveyed by fan charts with or without asymmetries, and with or without exact joint coverage, are illustrated with a Bayesian forecast exercise of US GDP growth rates.