Bayesian Nonparametric Calibration and Combination of Predictive Distributions
提出一种贝叶斯非参数方法，通过随机校准函数和组合权重来校准和组合多个预测密度，适用于厚尾和多峰分布，并在S&P回报和风速预测中验证。
We introduce a Bayesian approach to predictive density calibration and combination that accounts for parameter uncertainty and model set incompleteness through the use of random calibration functionals and random combination weights. Building on the work of Ranjan and Gneiting, we use infinite beta mixtures for the calibration. The proposed Bayesian nonparametric approach takes advantage of the flexibility of Dirichlet process mixtures to achieve any continuous deformation of linearly combined predictive distributions. The inference procedure is based on combination Gibbs and slice sampling. We provide some conditions under which the proposed probabilistic calibration converges in terms of weak posterior consistency to the true underlying density for both cases of iid and Markovian observations. This calibration property improves upon the earlier calibration approaches. We study the methodology in simulation examples with fat tails and multimodal densities and apply it to density forecasts of daily S&P returns and daily maximum wind speed at the Frankfurt airport. Supplementary materials for this article are available online.