are approximating a sequence of target distributions (eg SMC and its variants) using a fixed number number of weighted samples (too costly in many cases). It is not clear for me that using only ordinary MSE is enough as has been appeared in many articles. Professor Gneiting wrote a very interesting collection of papers about prediction and combining predictive distributions. In this spirit (but out forecast context), new approaches to evaluate stochastic algorithms taking into account computational complexity, performance, +++, can be more explored…

Reinaldo Marques ]]>

Thanks, Dan: I like this perspective as it replaces the (wrong, always wrong) model with the uses (usages?) one wants to make of the (wrong, always wrong) model.

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