Point forecasting and forecast evaluation with generalized Huber loss

DOI10.1214/21-EJS1957zbMATH Open1493.62029arXiv2108.12426OpenAlexW3197050061MaRDI QIDQ2136606FDOQ2136606

Authors: Robert J. Taggart 

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Huber loss, its asymmetric variants and their associated functionals (here named Huber functionals) are studied in the context of point forecasting and forecast evaluation. The Huber functional of a distribution is the set of minimizers of the expected (asymmetric) Huber loss, is an intermediary between a quantile and corresponding expectile, and also arises in M-estimation. Each Huber functional is elicitable, generating the precise set of minimizers of an expected score, subject to weak regularity conditions on the class of probability distributions, and has a complete characterization of its consistent scoring functions. Such scoring functions admit a mixture representation as a weighted average of elementary scoring functions. Each elementary score can be interpreted as the relative economic loss of using a particular forecast for a class of investment decisions where profits and losses are capped. The relevance of this theory for comparative assessment of weather forecasts is also discussed.

Full work available at URL: https://arxiv.org/abs/2108.12426

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zbMATH Keywords

quantiledecision theoryelicitabilityexpectileforecast rankingeconomic utilityHuber lossconsistent scoring functionrobust forecast verification

Mathematics Subject Classification ID

Decision theory (91B06) General considerations in statistical decision theory (62C05)

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Cited In (2)

• Making and evaluating point forecasts
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination

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