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Estimating reliability and resolution of probability forecasts through decomposition of the empirical score

By Jochen Bröcker

Abstract

Proper scoring rules provide a useful means to evaluate probabilistic forecasts. Independent from scoring rules, it has been argued that reliability and resolution are desirable forecast attributes. The mathematical expectation value of the score allows for a decomposition into reliability and resolution related terms, demonstrating a relationship between scoring rules and reliability/resolution. A similar decomposition holds for the empirical (i.e. sample average) score over an archive of forecast-observation pairs. This empirical decomposition though provides a too optimistic estimate of the potential score (i.e. the optimum score which could be obtained through recalibration), showing that a forecast assessment based solely on the empirical resolution and reliability terms will be misleading. The differences between the theoretical and empirical decomposition are investigated, and specific recommendations are given how to obtain better estimators of reliability and resolution in the case of the Brier and Ignorance scoring rule

Topics: HB Economic Theory
Publisher: Springer
Year: 2011
DOI identifier: 10.1007/s00382-011-1191-1
OAI identifier: oai:eprints.lse.ac.uk:39006
Provided by: LSE Research Online
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