Probability Forecasts Made at Multiple Lead Times

• 成果类型: Article
• 署名作者: Regnier, Eva
• 署名单位: United States Department of Defense; United States Navy; Naval Postgraduate School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2720
• 发表日期: 2018
• 页码: 2407-2426
• 关键词: time series; Decision Analysis; inference; probability forecasts; Scoring rules

摘要

Many probability forecasts are revised as new information becomes available, generating a time series of forecasts for a single event. Although methods for evaluating probability forecasts have been extensively studied, they apply to a single forecast per event. This paper is the first to evaluate probability forecasts that are made-and therefore revised-at many lead times for a single event. I postulate a norm for multi-period probability-forecasting systems and derive properties that should hold regardless of the forecasting process. I use these properties to develop methods for evaluating a forecasting system based on a sample. I apply these methods to the National Hurricane Center's wind-speed probability forecasts and to statistical election forecasts, finding evidence that both can be improved using the current set of predictors.