Measurability of functionals and of ideal point forecasts

Tobias Fissler and Hajo Holzmann

Papers from arXiv.org

Abstract: The ideal probabilistic forecast for a random variable $Y$ based on an information set $\mathcal{F}$ is the conditional distribution of $Y$ given $\mathcal{F}$. In the context of point forecasts aiming to specify a functional $T$ such as the mean, a quantile or a risk measure, the ideal point forecast is the respective functional applied to the conditional distribution. This paper provides a theoretical justification why this ideal forecast is actually a forecast, that is, an $\mathcal{F}$-measurable random variable. To that end, the appropriate notion of measurability of $T$ is clarified and this measurability is established for a large class of practically relevant functionals, including elicitable ones. More generally, the measurability of $T$ implies the measurability of any point forecast which arises by applying $T$ to a probabilistic forecast. Similar measurability results are established for proper scoring rules, the main tool to evaluate the predictive accuracy of probabilistic forecasts.

Date: 2022-03
New Economics Papers: this item is included in nep-for
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Published in Electronic Journal of Statistics 2022, Vol. 16, No. 2, 5019-5034

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2203.08635

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