Forecaster's dilemma: extreme events and forecast evaluation
From MaRDI portal
Publication:1790391
DOI10.1214/16-STS588zbMath1442.62209arXiv1512.09244OpenAlexW2963352444MaRDI QIDQ1790391
Sebastian Lerch, Thordis L. Thorarinsdottir, Francesco Ravazzolo, Tilmann Gneiting
Publication date: 2 October 2018
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.09244
likelihood ratio testpredictive performanceNeyman-Pearson lemmaprobabilistic forecastDiebold-Mariano testhindsight biasrare and extreme eventsproper weighted scoring rule
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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