EconPapers    
Economics at your fingertips  
 

Sequential aggregation of probabilistic forecasts—Application to wind speed ensemble forecasts

Michaël Zamo, Liliane Bel and Olivier Mestre

Journal of the Royal Statistical Society Series C, 2021, vol. 70, issue 1, 202-225

Abstract: In numerical weather prediction (NWP), the uncertainty about the future state of the atmosphere is described by a set of forecasts (called an ensemble). All ensembles have deficiencies that can be corrected via statistical post‐processing methods. Several ensembles, based on different NWP models, exist and may be corrected using different statistical methods. These raw or post‐processed ensembles can thus be combined. The theory of prediction with expert advice allows us to build combination algorithms with theoretical guarantees on the forecast performance. We adapt this theory to the case of probabilistic forecasts issued as stepwise cumulative distribution functions, computed from raw and post‐processed ensembles. The theory is applied to combine wind speed ensemble forecasts. The second goal of this study is to explore the use of two forecast performance criteria: the continuous ranked probability score (CRPS) and the Jolliffe–Primo test. The usual way to build skilful probabilistic forecasts is to minimize the CRPS. Minimizing the CRPS may not produce reliable forecasts according to the Jolliffe–Primo test. The Jolliffe–Primo test generally selects reliable forecasts, but could lead to issuing suboptimal forecasts in terms of CRPS. We propose to use both criteria to achieve reliable and skilful probabilistic forecasts.

Date: 2021
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/rssc.12455

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:70:y:2021:i:1:p:202-225

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9876

Access Statistics for this article

Journal of the Royal Statistical Society Series C is currently edited by R. Chandler and P. W. F. Smith

More articles in Journal of the Royal Statistical Society Series C from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-05-12
Handle: RePEc:bla:jorssc:v:70:y:2021:i:1:p:202-225