Copula calibration

Ziegel, Johanna F.; Gneiting, Tilmann (2014). Copula calibration. Electronic journal of statistics, 8(2), pp. 2619-2638. Institute of Mathematical Statistics 10.1214/14-EJS964

[img]
Preview
Text
1307.7650v1.pdf - Submitted Version
Available under License Publisher holds Copyright.

Download (242kB) | Preview
[img]
Preview
Text
1418313582.pdf - Published Version
Available under License Publisher holds Copyright.

Download (339kB) | Preview

We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically by checking for the uniformity of the copula probability integral transform (CopPIT), which is invariant under coordinate permutations and coordinatewise strictly monotone transformations of the predictive distribution and the outcome. The CopPIT histogram can be interpreted as a generalization and variant of the multivariate rank histogram, which has been used to check the calibration of ensemble forecasts. Climatological copula calibration is an analogue of marginal calibration in the univariate setting. Methods and tools are illustrated in a simulation study and applied to compare raw numerical model and statistically postprocessed ensemble forecasts of bivariate wind vectors.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Ziegel, Johanna F.

Subjects:

300 Social sciences, sociology & anthropology > 360 Social problems & social services
500 Science > 510 Mathematics

ISSN:

1935-7524

Publisher:

Institute of Mathematical Statistics

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

16 Dec 2014 17:18

Last Modified:

25 Apr 2017 23:49

Publisher DOI:

10.1214/14-EJS964

ArXiv ID:

1307.7650v1

BORIS DOI:

10.7892/boris.61137

URI:

https://boris.unibe.ch/id/eprint/61137

Actions (login required)

Edit item Edit item
Provide Feedback