Calibration tests for multivariate Gaussian forecasts

DOI10.1016/J.JMVA.2016.11.005MaRDI QIDQ730441zbMATH OpenOpenAlexFDO

Authors Wei Wei, Fadoua Balabdaoui, Leonhard Held

Publication date 28 December 2016

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2016.11.005

zbMATH Keywords

calibration testDawid-Sebastiani scoreGaussian forecastlogarithmic scoremultivariate forecastuniform correlation matrix

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• 400: A Method for Combining Non-Independent, One-Sided Tests of Significance
• A score regression approach to assess calibration of continuous probabilistic predictions
• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• Calibration tests for count data
• Coherent dispersion criteria for optimal experimental design
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Probabilistic Forecasts, Calibration and Sharpness
• Projecting the future burden of cancer: Bayesian age-period-cohort analysis with integrated nested Laplace approximations
• The Generalization of Student's Ratio
• Two further applications of a model for binary regression

Cited in

(4)

• Prediction and calibration for multiple correlated variables
• Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes
• Uniform calibration tests for forecasting systems with small lead time
• Copula calibration

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• BAPC

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