Cross-calibration of probabilistic forecasts

Strähl, Christof; Ziegel, Johanna F. (2017). Cross-calibration of probabilistic forecasts. Electronic journal of statistics, 11(1), pp. 608-639. Institute of Mathematical Statistics 10.1214/17-EJS1244

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When providing probabilistic forecasts for uncertain future events, it is common to strive for calibrated forecasts, that is, the predictive distribution should be compatible with the observed outcomes. Often, there are several competing forecasters of different skill. We extend common notions of calibration where each forecaster is analyzed individually, to stronger notions of cross-calibration where each forecaster is analyzed with respect to the other forecasters. In particular, cross-calibration dis- tinguishes forecasters with respect to increasing information sets. We provide diagnostic tools and statistical tests to assess cross-calibration. The methods are illustrated in simulation examples and applied to probabilistic forecasts for inflation rates by the Bank of England. Computer code and supplementary material (Strähl and Ziegel, 2017a,b) are available online.

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:

Strähl, Christof and Ziegel, Johanna F.

Subjects:

500 Science > 510 Mathematics

ISSN:

1935-7524

Publisher:

Institute of Mathematical Statistics

Language:

English

Submitter:

Johanna Fasciati-Ziegel

Date Deposited:

25 Apr 2017 17:48

Last Modified:

25 Apr 2017 17:48

Publisher DOI:

10.1214/17-EJS1244

BORIS DOI:

10.7892/boris.96572

URI:

https://boris.unibe.ch/id/eprint/96572

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