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Facets of forecast evaluation

Jordan, Alexander

Abstract: Forecasts are issued as point or probabilistic predictions, and their performance is measured using consistent scoring functions or proper scoring rules. We identify classes of elementary members of these performance measures and develop diagnostic tools to assist in the ranking of forecasters. Rankings are subject to the choice of evaluation criterion and the sampling variability. We also provide guidance in the computation of a particular scoring rule, the continuous ranked probability score.

Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2016
Sprache Englisch
Identifikator DOI(KIT): 10.5445/IR/1000063629
URN: urn:nbn:de:swb:90-636291
KITopen ID: 1000063629
Verlag Karlsruhe
Umfang XII, 112 S.
Abschlussart Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 23.11.2016
Referent/Betreuer Prof. T. Gneiting
Schlagworte Mixture representations, Murphy diagrams, ranking stability, CRPS
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