Exceedance probability score: a novel measure for comparing probabilistic predictions

DOI10.1080/15598608.2012.695663zbMath1425.62080OpenAlexW2048279140MaRDI QIDQ2320780

Juha Röning, S. Tamminen, Ilmari Juutilainen

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.695663

zbMATH Keywords

scoring rulesdensity forecastcontinuous ranked probability scoreCRPSlogarithm scoreprobability prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics in engineering and industry; control charts (62P30)

Related Items (2)

Local scale invariance and robustness of proper scoring rules ⋮ Forecaster's dilemma: extreme events and forecast evaluation

Uses Software

• GAMLSS

Cites Work

• Likelihood-based scoring rules for comparing density forecasts in tails
• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
• Scoring Rules for Continuous Probability Distributions
• Regression Quantiles
• Methods for Estimating a Conditional Distribution Function
• Strictly Proper Scoring Rules, Prediction, and Estimation

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