Copula calibration
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Publication:485915
DOI10.1214/14-EJS964zbMATH Open1325.62108arXiv1307.7650OpenAlexW3037827114MaRDI QIDQ485915FDOQ485915
Authors: Johanna F. Ziegel, Tilmann Gneiting 
Publication date: 14 January 2015
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We propose notions of calibration for probabilistic forecasts of general multivariate quantities. Probabilistic copula calibration is a natural analogue of probabilistic calibration in the univariate setting. It can be assessed empirically by checking for the uniformity of the copula probability integral transform (CopPIT), which is invariant under coordinate permutations and coordinatewise strictly monotone transformations of the predictive distribution and the outcome. The CopPIT histogram can be interpreted as a generalization and variant of the multivariate rank histogram, which has been used to check the calibration of ensemble forecasts. Climatological copula calibration is an analogue of marginal calibration in the univariate setting. Methods and tools are illustrated in a simulation study and applied to compare raw numerical model and statistically postprocessed ensemble forecasts of bivariate wind vectors.
Full work available at URL: https://arxiv.org/abs/1307.7650
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Cited In (10)
- Rejoinder on: Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
- Calibration of the bulk and extremes of spatial data
- The joint valibration model in probabilistic weather forecasting: some preliminary issues
- Calibration tests for multivariate Gaussian forecasts
- Sequentially valid tests for forecast calibration
- Physically coherent probabilistic weather forecasts using multivariate discrete copula-based ensemble postprocessing methods
- Multivariate and spatial ensemble postprocessing methods
- Uncertainty quantification in complex simulation models using ensemble copula coupling
- Cross-calibration of probabilistic forecasts
- Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
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