KIT | KIT-Bibliothek | Impressum | Datenschutz

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

Brehmer, Jonas R.; Gneiting, Tilmann


We consider different types of predictive intervals and ask whether they are elicitable, i.e. are unique minimizers of a loss or scoring function in expectation. The equal-tailed interval is elicitable, with a rich class of suitable loss functions, though subject to translation invariance, or positive homogeneity and differentiability, the Winkler interval score becomes a unique choice. The modal interval also is elicitable, with a sole consistent scoring function, up to equivalence. However, the shortest interval fails to be elicitable relative to practically relevant classes of distributions. These results provide guidance in interval forecast evaluation and support recent choices of performance measures in forecast competitions.

Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Forschungsbericht/Preprint
Publikationsmonat/-jahr 05.2021
Sprache Englisch
Identifikator KITopen-ID: 1000135800
Verlag International Statistical Institute (ISI)
Nachgewiesen in arXiv
Relationen in KITopen
KIT – Die Forschungsuniversität in der Helmholtz-Gemeinschaft
KITopen Landing Page