Week 52 Influenza Forecast for the 2012-2013 U.S. Season

This document is another installment in a series of near real-time weekly influenza forecasts made during the 2012-2013 influenza season. Here we present some of the results of forecasts initiated following assimilation of observations for Week 52 (i.e. the forecast begins December 30, 2012) for municipalities in the United States. The forecasts were made on January 4, 2013. Results from forecasts initiated the five previous weeks (Weeks 47-51) are also presented

Evaluating probability forecasts

Probability forecasts of events are routinely used in climate predictions, in forecasting default probabilities on bank loans or in estimating the probability of a patient's positive response to treatment. Scoring rules have long been used to assess the efficacy of the forecast probabilities after observing the occurrence, or nonoccurrence, of the predicted events. We develop herein a statistical theory for scoring rules and propose an alternative approach to the evaluation of probability forecasts. This approach uses loss functions relating the predicted to the actual probabilities of the events and applies martingale theory to exploit the temporal structure between the forecast and the subsequent occurrence or nonoccurrence of the event.Comment: Published in at http://dx.doi.org/10.1214/11-AOS902 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Corrective receding horizon EV charge scheduling using short-term solar forecasting

Forecast errors can cause sub-optimal solutions in resource planning optimization, yet they are usually modeled simplistically by statistical models, causing unrealistic impacts on the optimal solutions. In this paper, realistic forecast errors are prescribed, and a corrective approach is proposed to mitigate the negative effects of day-ahead persistence forecast error by short-term forecasts from a state-of-the-art sky imager system. These forecasts preserve the spatiotemporal dependence structure of forecast errors avoiding statistical approximations. The performance of the proposed algorithm is tested on a receding horizon quadratic program developed for valley filling the midday net load depression through electric vehicle charging. Throughout one month of simulations the ability to flatten net load is assessed under practical forecast accuracy levels achievable from persistence, sky imager and perfect forecasts. Compared to using day-ahead persistence solar forecasts, the proposed corrective approach using sky imager forecasts delivers a 25% reduction in the standard deviation of the daily net load. It is demonstrated that correcting day-ahead forecasts in real time with more accurate short-term forecasts benefits the valley filling solution

Evaluation of ECMWF medium-range ensemble forecasts of precipitation for river basins

Providing probabilistic forecasts using Ensemble Prediction Systems has become increasingly popular in both the meteorological and hydrological communities. Compared to conventional deterministic forecasts, probabilistic forecasts may provide more reliable forecasts of a few hours to a number of days ahead, and hence are regarded as better tools for taking uncertainties into consideration and hedging against weather risks. It is essential to evaluate performance of raw ensemble forecasts and their potential values in forecasting extreme hydro-meteorological events. This study evaluates ECMWF's medium-range ensemble forecasts of precipitation over the period 1 January 2008 to 30 September 2012 on a selected midlatitude large-scale river basin, the Huai river basin (ca. 270 000 km2) in central-east China. The evaluation unit is sub-basin in order to consider forecast performance in a hydrologically relevant way. The study finds that forecast performance varies with sub-basin properties, between flooding and non-flooding seasons, and with the forecast properties of aggregated time steps and lead times. Although the study does not evaluate any hydrological applications of the ensemble precipitation forecasts, its results have direct implications in hydrological forecasts should these ensemble precipitation forecasts be employed in hydrology

Forecast Combinations

We consider combinations of subjective survey forecasts and model-based forecasts from linear and non-linear univariate specifications as well as multivariate factor-augmented models. Empirical results suggest that a simple equal-weighted average of survey forecasts outperform the best model-based forecasts for a majority of macroeconomic variables and forecast horizons. Additional improvements can in some cases be gained by using a simple equal-weighted average of survey and model-based forecasts. We also provide an analysis of the importance of model instability for explaining gains from forecast combination. Analytical and simulation results uncover break scenarios where forecast combinations outperform the best individual forecasting model.Factor Based Forecasts, Non-linear Forecasts, Structural Breaks, Survey Forecasts, Univariate Forecasts.

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

"Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments"

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that perspective. The literature on forecast evaluation predominantly assumes that macroeconomic forecasts are generated from econometric models. In practice, however, most macroeconomic forecasts, such as those from the IMF, World Bank, OECD, Federal Reserve Board, Federal Open Market Committee (FOMC) and the ECB, are based on econometric model forecasts as well as on human intuition. This seemingly inevitable combination renders most of these forecasts biased and, as such, their evaluation becomes non-standard. In this review, we consider the evaluation of two forecasts in which: (i) the two forecasts are generated from two distinct econometric models; (ii) one forecast is generated from an econometric model and the other is obtained as a combination of a model, the other forecast, and intuition; and (iii) the two forecasts are generated from two distinct combinations of different models and intuition. It is shown that alternative tools are needed to compare and evaluate the forecasts in each of these three situations. These alternative techniques are illustrated by comparing the forecasts from the Federal Reserve Board and the FOMC on inflation, unemployment and real GDP growth.

Evaluating FOMC forecasts

Federal Reserve policymakers began reporting their economic forecasts to Congress in 1979. These forecasts are important because they indicate what the Federal Open Market Committee (FOMC) members think will be the likely consequence of their policies. We evaluate the accuracy of the FOMC forecasts relative to private sector forecasts, the forecasts of the Research Staff at the Board of Governors, and a naïve alternative forecast. The Fed reports both the range (high and low) of the individual policymaker's forecasts and a truncated central tendency. We find no reason to consider the truncated version. We find that the FOMC output forecasts were better than the naïve model and at least as good as those of the private sector and the Fed staff. The FOMC inflation forecasts were more accurate than the private sector forecasts and the naïve model. For the period ending in 1996, however, they were not as accurate as Fed staff inflation forecasts.Federal Open Market Committee ; Forecasting