Forecaster's dilemma: extreme events and forecast evaluation

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

zbMATH Keywords

likelihood ratio testpredictive performanceNeyman-Pearson lemmaprobabilistic forecastDiebold-Mariano testhindsight biasrare and extreme eventsproper weighted scoring rule

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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