Valid sequential inference on probability forecast performance

DOI10.1093/biomet/asab047OpenAlexW3204148984MaRDI QIDQ5102496

Johanna F. Ziegel, Alexander Henzi

Publication date: 8 September 2022

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.08402

zbMATH Keywords

probability forecastproper scoring ruleoptional stoppingsequential inferenceE-valueconsistent scoring functionforecast dominance

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (8)

Exact anytime-valid confidence intervals for contingency tables and beyond ⋮ Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination ⋮ Game-theoretic statistics and safe anytime-valid inference ⋮ Sequentially valid tests for forecast calibration ⋮ Stochastic online convex optimization. Application to probabilistic time series forecasting ⋮ Merging sequential e-values via martingales ⋮ Sequential testing for elicitable functionals via supermartingales ⋮ Generic E-Variables for Exact Sequential k-Sample Tests that allow for Optional Stopping

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