Estimating the Conditional Forecast-Revision Scale in Sequential Models: Local-Smoothing Limits, Matched Models, and Cost--Accuracy Trade-offs
序贯模型中条件预测修正尺度的估计:局部平滑极限、结构匹配与成本精度权衡
The \emph{conditional forecast-revision scale} $\It=\{\Var(\E[X_{t+1}\mid\F_t]\mid\F_{t-1})\}^{1/2}$ measures the history-specific size of the forecast update induced by observing $X_t$. Because it is a conditional second moment built from two unknown conditional means, it is not directly observed. We study which estimator of $\It$ should be used under different structural assumptions and computational budgets. The comparison includes a block bootstrap, a…