Tail Calibration of Probabilistic Forecasts

DOI10.1080/01621459.2025.2506194MaRDI QIDQ6878020zbMATH OpenFDO

Authors Sam D. Allen, Jonathan Koh, Johan Segers, Johanna F. Ziegel

Publication date 7 January 2026

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/01621459.2025.2506194

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Algorithmic Learning in a Random World
• Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
• Combining predictive distributions
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• Cross-calibration of probabilistic forecasts
• Elicitability and backtesting: perspectives for banking regulation
• Evaluating Forecasts for High-Impact Events Using Transformed Kernel Scores
• Focusing on regions of interest in forecast evaluation
• Forecaster's dilemma: extreme events and forecast evaluation
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• Likelihood-based scoring rules for comparing density forecasts in tails
• Probabilistic Forecasts, Calibration and Sharpness
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• Residual life time at great age
• Sequential aggregation of probabilistic forecasts -- application to wind speed ensemble forecasts
• Sequentially valid tests for forecast calibration
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Tests of Conditional Predictive Ability
• Why scoring functions cannot assess tail properties

This page was built for publication: Tail Calibration of Probabilistic Forecasts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6878020)