The DOI matches its Crossref record; 33 of the 33 references it cites were found in a registry or an index.
Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
Abstract
We propose a method for comparing density forecasts that is based on weighted versions of the continuous ranked probability score. The weighting emphasizes regions of interest, such as the tails or the center of a variable’s range, while retaining propriety, as opposed to a recently developed weighted likelihood ratio test, which can be hedged. Threshold- and quantile-based decompositions of the continuous ranked probability score can be illustrated graphically and provide insight into the strengths and deficiencies of a forecasting method. We illustrate the use of the test and graphical tools in case studies on the Bank of England’s density forecasts of quarterly inflation rates in the United Kingdom, and probabilistic predictions of wind resources in the Pacific Northwest.
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Cites
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Self-citationTests of Conditional Predictive Ability
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Cited by
Gneiting, T., & Katzfuss, M. (2014) · Annual Review of Statistics and Its Application · doi:10.1146/annurev-statistics-062713-085831 · Cited by 888
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Copula Methods for Forecasting Multivariate Time Series
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Evaluating epidemic forecasts in an interval format
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Metadata
- Authors
- Gneiting, T., & Ranjan, R.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 2011-07
- Volume
- 29
- Issue
- 3
- Pages
- 411-422
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2065089656
- Cited by
- 507
- References
- 33
- FWCI
- 14.83
- Type
- journal article
- Language
- en
- Open access
- closed
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