LOCAL PROPER SCORING RULES OF ORDER TWO

• 成果类型: Article
• 署名作者: Ehm, Werner; Gneiting, Tilmann
• 署名单位: Ruprecht Karls University Heidelberg
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/12-AOS973
• 发表日期: 2012
• 页码: 609-637
• 关键词: assessing probabilistic forecasts; model output statistics; multivariate quantities; ensemble predictions; INFORMATION

摘要

Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if it encourages truthful reporting. It is local of order k if the score depends on the predictive density only through its value and the values of its derivatives of order up to k at the realizing event. Complementing fundamental recent work by Parry, Dawid and Lauritzen, we characterize the local proper scoring rules of order 2 relative to a broad class of Lebesgue densities on the real line, using a different approach. In a data example, we use local and nonlocal proper scoring rules to assess statistically postprocessed ensemble weather forecasts.