Local scale invariance and robustness of proper scoring rules
(2023) In Statistical Science 38(1). p.140-159- Abstract
- Averages of proper scoring rules are often used to rank probabilistic forecasts. In many cases, the individual terms in these averages are based on observations and forecasts from different distributions. We show that some of the most popular proper scoring rules, such as the continuous ranked probability score (CRPS), give more importance to observations with large uncertainty, which can lead to unintuitive rankings. To describe this issue, we define the concept of local scale invariance for scoring rules. A new class of generalized proper kernel scoring rules is derived and as a member of this class we propose the scaled CRPS (SCRPS). This new proper scoring rule is locally scale invariant and, therefore, works in the case of varying... (More)
- Averages of proper scoring rules are often used to rank probabilistic forecasts. In many cases, the individual terms in these averages are based on observations and forecasts from different distributions. We show that some of the most popular proper scoring rules, such as the continuous ranked probability score (CRPS), give more importance to observations with large uncertainty, which can lead to unintuitive rankings. To describe this issue, we define the concept of local scale invariance for scoring rules. A new class of generalized proper kernel scoring rules is derived and as a member of this class we propose the scaled CRPS (SCRPS). This new proper scoring rule is locally scale invariant and, therefore, works in the case of varying uncertainty. Like the CRPS, it is computationally available for output from ensemble forecasts, and does not require the ability to evaluate densities of forecasts.
We further define robustness of scoring rules, show why this also can be an important concept for average scores unless one is specifically interested in extremes, and derive new proper scoring rules that are robust against outliers. The theoretical findings are illustrated in three different applications from spatial statistics, stochastic volatility models and regression for count data. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/d3910b42-a9e9-4db4-9fee-7dd1f2d59864
- author
- Bolin, David and Wallin, Jonas LU
- organization
- publishing date
- 2023
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Probabilistic forecasting, model selection, spatial statistics, forecast ranking
- in
- Statistical Science
- volume
- 38
- issue
- 1
- pages
- 140 - 159
- publisher
- IMS
- external identifiers
-
- scopus:85151949583
- ISSN
- 0883-4237
- DOI
- 10.1214/22-STS864
- language
- English
- LU publication?
- yes
- id
- d3910b42-a9e9-4db4-9fee-7dd1f2d59864
- date added to LUP
- 2023-06-15 13:26:23
- date last changed
- 2023-06-16 09:14:03
@article{d3910b42-a9e9-4db4-9fee-7dd1f2d59864,
abstract = {{Averages of proper scoring rules are often used to rank probabilistic forecasts. In many cases, the individual terms in these averages are based on observations and forecasts from different distributions. We show that some of the most popular proper scoring rules, such as the continuous ranked probability score (CRPS), give more importance to observations with large uncertainty, which can lead to unintuitive rankings. To describe this issue, we define the concept of local scale invariance for scoring rules. A new class of generalized proper kernel scoring rules is derived and as a member of this class we propose the scaled CRPS (SCRPS). This new proper scoring rule is locally scale invariant and, therefore, works in the case of varying uncertainty. Like the CRPS, it is computationally available for output from ensemble forecasts, and does not require the ability to evaluate densities of forecasts.<br/><br/>We further define robustness of scoring rules, show why this also can be an important concept for average scores unless one is specifically interested in extremes, and derive new proper scoring rules that are robust against outliers. The theoretical findings are illustrated in three different applications from spatial statistics, stochastic volatility models and regression for count data.}},
author = {{Bolin, David and Wallin, Jonas}},
issn = {{0883-4237}},
keywords = {{Probabilistic forecasting; model selection; spatial statistics; forecast ranking}},
language = {{eng}},
number = {{1}},
pages = {{140--159}},
publisher = {{IMS}},
series = {{Statistical Science}},
title = {{Local scale invariance and robustness of proper scoring rules}},
url = {{http://dx.doi.org/10.1214/22-STS864}},
doi = {{10.1214/22-STS864}},
volume = {{38}},
year = {{2023}},
}