Evaluation of point forecasts for extreme events using consistent scoring functions
| Autor: | Taggart, Robert J. |
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| Rok vydání: | 2021 |
| Předmět: | |
| Zdroj: | Taggart, R. (2021) Evaluation of point forecasts for extreme events using consistent scoring functions. Q J R Meteorol Soc, 1-15 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1002/qj.4206 |
| Popis: | We present a method for comparing point forecasts in a region of interest, such as the tails or centre of a variable's range. This method cannot be hedged, in contrast to conditionally selecting events to evaluate and then using a scoring function that would have been consistent (or proper) prior to event selection. Our method also gives decompositions of scoring functions that are consistent for the mean or a particular quantile or expectile. Each member of each decomposition is itself a consistent scoring function that emphasises performance over a selected region of the variable's range. The score of each member of the decomposition has a natural interpretation rooted in optimal decision theory. It is the weighted average of economic regret over user decision thresholds, where the weight emphasises those decision thresholds in the corresponding region of interest. Comment: 17 pages, 6 figures, 4 tables. This version clarifies hypotheses for Corollary 1 on the functions g and phi. See the published version at Quarterly Journal of the Royal Meteorological Society (https://doi.org/10.1002/qj.4206) for additional content aimed to increase the accessibility of this paper, particularly for practitioners |
| Databáze: | arXiv |
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