Evaluating probabilistic forecasts of extremes using continuous ranked probability score distributions

Maxime Taillardat, Anne-Laure Fougères, Philippe Naveau and Raphaël de Fondeville

International Journal of Forecasting, 2023, vol. 39, issue 3, 1448-1459

Abstract: Verifying probabilistic forecasts for extreme events is a highly active research area because popular media and public opinions are naturally focused on extreme events, and biased conclusions are readily made. In this context, classical verification methods tailored for extreme events, such as thresholded and weighted scoring rules, have undesirable properties that cannot be mitigated, and the well-known continuous ranked probability score (CRPS) is no exception.

Keywords: CRPS; Extreme events; Probabilistic forecasting; Scoring rules; Calibration; Verification (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:39:y:2023:i:3:p:1448-1459

DOI: 10.1016/j.ijforecast.2022.07.003

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