Forecaster's dilemma: extreme events and forecast evaluation
From MaRDI portal
Publication:1790391
DOI10.1214/16-STS588zbMath1442.62209arXiv1512.09244MaRDI QIDQ1790391
Tilmann Gneiting, Thordis L. Thorarinsdottir, Francesco Ravazzolo, Sebastian Lerch
Publication date: 2 October 2018
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.09244
likelihood ratio test; predictive performance; Neyman-Pearson lemma; probabilistic forecast; Diebold-Mariano test; hindsight bias; rare and extreme events; proper weighted scoring rule
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction