MSE-optimal multi-step forecasters cannot match the marginal distribution of realizations under nonzero conditional uncertainty, creating a quantifiable accuracy-realism Pareto frontier across benchmarks.
Rasul, Sheheryar Zaidi, Shirzad K
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Expectations vs. Realities: The Cost of MSE-Optimal Forecasting Under Conditional Uncertainty
MSE-optimal multi-step forecasters cannot match the marginal distribution of realizations under nonzero conditional uncertainty, creating a quantifiable accuracy-realism Pareto frontier across benchmarks.