Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation

Kajal Lahiri and Liu Yang

No 5290, CESifo Working Paper Series from CESifo

Abstract: We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.

Keywords: probability forecasts; serial correlation; Brier score; Brier skill score; survey of professional forecasters (search for similar items in EconPapers)
JEL-codes: C01 C12 C53 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Asymptotic variance of Brier (skill) score in the presence of serial correlation (2016)
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