Scoring interval forecasts: equal-tailed, shortest, and modal interval

DOI10.3150/20-BEJ1298zbMath1469.62191arXiv2007.05709OpenAlexW3160899915MaRDI QIDQ2040103

Jonas R. Brehmer, Tilmann Gneiting

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.05709

zbMATH Keywords

predictive performancescoring functionforecast evaluationelicitabilitymodal intervalinterval forecast

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Statistical decision theory (62C99) General considerations in statistical decision theory (62C05)

Related Items (5)

Combining probabilistic forecasts of COVID-19 mortality in the United States ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles ⋮ Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals

Cites Work

• Unnamed Item
• Making and Evaluating Point Forecasts
• Higher order elicitability and Osband's principle
• Elicitability and backtesting: perspectives for banking regulation
• On the indirect elicitability of the mode and modal interval
• Why scoring functions cannot assess tail properties
• Theory and applications of proper scoring rules
• General truthfulness characterizations via convex analysis
• On the Comparison of Interval Forecasts
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
• The mode functional is not elicitable
• Probabilistic Forecasts, Calibration and Sharpness
• Linear-loss interval estimation of location and scale parameters
• A Decision-Theoretic Approach to Interval Estimation
• Predictive Model Assessment for Count Data
• Risk functionals with convex level sets

This page was built for publication: Scoring interval forecasts: equal-tailed, shortest, and modal interval