Probabilistic forecasting with discrete choice models: Evaluating predictions with pseudo-coefficients of determination
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- 作者：Ming-Chien Sung ; m.sung@soton.ac.uk" class="auth_mail" title="E-mail the corresponding author ; ms9@soton.ac.uk" class="auth_mail" title="E-mail the corresponding author ; David C.J. McDonald d.mcdonald@soton.ac.uk" class="auth_mail" title="E-mail the corresponding author ; Johnnie E.V. Johnson jej@soton.ac.uk" class="auth_mail" title="E-mail the corresponding author
- 关键词：Forecasting ; Decision analysis ; Finance ; Discrete choice models ; Horseracing
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 February 2016
- 年：2016
- 卷：248
- 期：3
- 页码：1021-1030
- 全文大小：413 K
文摘
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Forecasts of discrete choice can be misjudged due to difficulties of pseudo-R2.
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We resolve these difficulties in the context of competitive event forecasting.
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McFaddenś pseudo-R2 is dependent on the mean number of alternatives.
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Pseudo-R2s can be given standard errors with bootstrap and asymptotic methods.
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We derive a relative pseudo-R2, a new measure of the economic value of forecasts.