Status: Bibliographieeintrag
Standort: ---
Exemplare:
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| Online-Ressource |
Verfasst von: | Gneiting, Tilmann  |
| Katzfuß, Matthias  |
Titel: | Probabilistic forecasting |
Verf.angabe: | Tilmann Gneiting; Matthias Katzfuss |
Verlagsort: | [S.l.] |
Verlag: | SSRN |
E-Jahr: | 2014 |
Jahr: | [2014] |
Umfang: | 27 S. |
Titel Quelle: | In: Annual review of statistics and its application |
Ort Quelle: | Palo Alto, Calif. : Annual Reviews, 2014 |
Jahr Quelle: | 2014 |
Band/Heft Quelle: | 1(2014), Seite 125-151 |
ISSN Quelle: | 2326-831X |
Abstract: | A probabilistic forecast takes the form of a predictive probability distribution over future quantities or events of interest. Probabilistic forecasting aims to maximize the sharpness of the predictive distributions, subject to calibration, on the basis of the available information set. We formalize and study notions of calibration in a prediction space setting. In practice, probabilistic calibration can be checked by examining probability integral transform (PIT) histograms. Proper scoring rules such as the logarithmic score and the continuous ranked probability score serve to assess calibration and sharpness simultaneously. As a special case, consistent scoring functions provide decision-theoretically coherent tools for evaluating point forecasts. We emphasize methodological links to parametric and nonparametric distributional regression techniques, which attempt to model and to estimate conditional distribution functions; we use the context of statistically postprocessed ensemble forecasts in numerical weather prediction as an example. Throughout, we illustrate concepts and methodologies in data examples |
URL: | Bitte beachten Sie: Dies ist ein Bibliographieeintrag. Ein Volltextzugriff für Mitglieder der Universität besteht hier nur, falls für die entsprechende Zeitschrift/den entsprechenden Sammelband ein Abonnement besteht oder es sich um einen OpenAccess-Titel handelt.
Volltext: http://dx.doi.org/10.1146/annurev-statistics-062713-085831 |
Datenträger: | Online-Ressource |
Sprache: | eng |
K10plus-PPN: | 1471725103 |
Verknüpfungen: | → Zeitschrift |
Probabilistic forecasting / Gneiting, Tilmann; [2014] (Online-Ressource)
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