Comparative evaluation of point process forecasts
From MaRDI portal
Publication:6138752
DOI10.1007/S10463-023-00875-5arXiv2103.11884MaRDI QIDQ6138752FDOQ6138752
Authors: Jonas R. Brehmer, Tilmann Gneiting, Marcus Herrmann, Warner Marzocchi, M. Schlather, Kirstin Strokorb 
Publication date: 16 January 2024
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Abstract: Point process models are widely used tools to issue forecasts or assess risks. In order to check which models are useful in practice, they are examined by a variety of statistical methods. We transfer the concept of consistent scoring functions, which are principled statistical tools to compare forecasts, to the point process setting. The results provide a novel approach for the comparative assessment of forecasts and models and encompass some existing testing procedures.
Full work available at URL: https://arxiv.org/abs/2103.11884
elicitabilityproper scoring ruleforecast evaluationstatistical seismologyconsistent scoring function
Cites Work
- Power-law models for infectious disease spread
- Space-time point-process models for earthquake occurrences
- Coherent dispersion criteria for optimal experimental design
- An Introduction to the Theory of Point Processes
- Self-exciting point process modeling of crime
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Elicitability and backtesting: perspectives for banking regulation
- Stochastic geometry and its applications
- Comparing density forecasts using threshold- and quantile-weighted scoring rules
- Determinantal point process models and statistical inference
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- Statistical Analysis and Modelling of Spatial Point Patterns
- Making and evaluating point forecasts
- Convex Analysis
- A review of self-exciting spatio-temporal point processes and their applications
- Elicitation of Personal Probabilities and Expectations
- Theory and applications of proper scoring rules
- Proper Scores for Probability Forecasters
- Residual Analysis for Spatial Point Processes (with Discussion)
- Forecaster's dilemma: extreme events and forecast evaluation
- Stochastic Declustering of Space-Time Earthquake Occurrences
- Scoring probability forecasts for point processes: the entropy score and information gain
- Residual analysis methods for space-time point processes with applications to earthquake forecast models in California
- Voronoi residual analysis of spatial point process models with applications to California earthquake forecasts
- Assessment of point process models for earthquake forecasting
- Performance of information criteria for selection of Hawkes process models of financial data
- Focusing on regions of interest in forecast evaluation
- Statistical Rules of Thumb, Second Edition
- A construction principle for proper scoring rules
- Elicitation complexity of statistical properties
- Scalable high-resolution forecasting of sparse spatiotemporal events with kernel methods: a winning solution to the NIJ ``Real-time crime forecasting challenge
- A recursive point process model for infectious diseases
This page was built for publication: Comparative evaluation of point process forecasts
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6138752)
