Assessing Point Forecast Accuracy by Stochastic Error Distance
We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 ("stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, and we show that all such loss functions can be written as weighted SED's. The leading case is absolute-error loss. Among other things, this suggests shifting attention away from conditional-mean forecasts and toward conditional-median forecasts.
Published Versions
Francis X. Diebold & Minchul Shin, 2017. "Assessing point forecast accuracy by stochastic error distance," Econometric Reviews, vol 36(6-9), pages 588-598. citation courtesy of 
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