On Testing the Validity of Sequential Probability Forecasts

DOI10.2307/2290731MaRDI QIDQ4694205zbMATH OpenOpenAlexFDO

Authors Françoise Seillier-Moiseiwitsch, A. Philip Dawid

Publication date 17 August 1993

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2290731

zbMATH Keywords

calibrationchi-square distributioncommon joint distributionmartingale central limit theoremsnormal distributionscoring rulessequence of outcomessequence of probability forecasts

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10)

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Cited in

(33)

• Calibration-based empirical probability
• Forecasting point and continuous processes: Prequential analysis
• The reproducible properties of correct forecasts
• Forecast dominance testing via sign randomization
• On individual risk
• Probability, causality and the empirical world: a Bayes-de Finetti-Popper-Borel synthesis
• Modeling parallel transport
• Uniform calibration tests for forecasting systems with small lead time
• Efficient real-time monitoring of an emerging influenza pandemic: how feasible?
• Consistent estimation of a general nonparametric regression function in time series
• Diagnostic tools for approximate Bayesian computation using the coverage property
• Can theories be tested?
• A new goodness-of-fit test for event forecasting and its application to credit defaults
• Some aspects of probability forecasting
• Estimation for the prediction of point processes with many covariates
• Improvement over bayes prediction in small samples in the presence of model uncertainty
• Sequential Probability Forecasts and the Probability Integral Transform
• Forecasting and prequential validation for time varying meta-elliptical distributions
• On efficient probability forecasting systems
• Prequential analysis of complex data with adaptive model reselection
• Evaluating Real-Time Probabilistic Forecasts With Application to National Basketball Association Outcome Prediction
• Testing the reliability of forecasting systems
• Prequential omnibus goodness-of-fit tests for stochastic processes: A numerical study
• Projecting the future burden of cancer: Bayesian age-period-cohort analysis with integrated nested Laplace approximations
• Value-at-risk forecasts under scrutiny—the German experience
• Good Randomized Sequential Probability Forecasting is Always Possible
• Computational aspects of DNA mixture analysis
• Did Jean Ville Invent Martingales?
• Evaluating probability forecasts
• Bayesian diagnostics for chain event graphs
• Probabilistic forecasting in infectious disease epidemiology: the 13th Armitage lecture
• Significance testing with no alternative hypothesis: A measure of surprise
• Bootstrap model selection for possibly dependent and heterogeneous data

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