Probability Forecasts and Their Combination: A Research Perspective

Robert L. Winkler (), Yael Grushka-Cockayne (), Kenneth C. Lichtendahl () and Victor Richmond R. Jose ()
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Robert L. Winkler: Fuqua School of Business, Duke University, Durham, North Carolina 27708
Yael Grushka-Cockayne: Harvard Business School, Harvard University, Boston, Massachusetts 02163; Darden School of Business, University of Virginia, Charlottesville, Virginia 22903
Kenneth C. Lichtendahl: Darden School of Business, University of Virginia, Charlottesville, Virginia 22903
Victor Richmond R. Jose: McDonough School of Business, Georgetown University, Washington, DC 20057

Decision Analysis, 2019, vol. 16, issue 4, 239-260

Abstract: We explore some recent, and not so recent, developments concerning the use of probability forecasts and their combination in decision making. Despite these advances, challenges still exist. We expand on some important challenges influencing the “goodness” of combined probability forecasts such as miscalibration, dependence among forecasters, and selection of an appropriate evaluation measure while connecting the processes of aggregating and evaluating forecasts to decision making. Through three important applications from the domains of meteorology, economics, and political science, we illustrate state-of-the-art usage of probability forecasts: how they are combined, evaluated, and communicated to stakeholders. We expect to see greater use and aggregation of probability forecasts, especially given developments in statistical modeling, machine learning, and expert forecasting; the popularity of forecasting competitions; and the increased reporting of probabilities in the media. Our vision is that increased exposure to and improved visualizations of probability forecasts will enhance the public’s understanding of probabilities and how they can contribute to better decisions.

Keywords: probability forecasts; forecast combination; forecast evaluation; decision analysis (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (21)

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