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Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds


Gneiting, T; Stanberry, L I; Grimit, E P; Held, L; Johnson, N A (2008). Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds. Test, 17(2):211-235.

Abstract

We discuss methods for the evaluation of probabilistic predictions of vector-valued quantities, that can take the form of a discrete forecast ensemble or a density forecast. In particular, we propose a multivariate version of the univariate verification rank histogram or Talagrand diagram that can be used to check the calibration of ensemble forecasts. In the case of density forecasts, Box’s density ordinate transform provides an attractive alternative. The multivariate energy score generalizes the continuous ranked probability score. It addresses both calibration and sharpness, and can be used to compare deterministic forecasts, ensemble forecasts and density forecasts, using a single loss function that is proper. An application to the University of Washington mesoscale ensemble points at strengths and deficiencies of probabilistic short-range forecasts of surface wind vectors over the North American Pacific Northwest.

We discuss methods for the evaluation of probabilistic predictions of vector-valued quantities, that can take the form of a discrete forecast ensemble or a density forecast. In particular, we propose a multivariate version of the univariate verification rank histogram or Talagrand diagram that can be used to check the calibration of ensemble forecasts. In the case of density forecasts, Box’s density ordinate transform provides an attractive alternative. The multivariate energy score generalizes the continuous ranked probability score. It addresses both calibration and sharpness, and can be used to compare deterministic forecasts, ensemble forecasts and density forecasts, using a single loss function that is proper. An application to the University of Washington mesoscale ensemble points at strengths and deficiencies of probabilistic short-range forecasts of surface wind vectors over the North American Pacific Northwest.

Citations

46 citations in Web of Science®
50 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:04 Faculty of Medicine > Epidemiology, Biostatistics and Prevention Institute (EBPI)
Dewey Decimal Classification:610 Medicine & health
Language:English
Date:August 2008
Deposited On:09 Sep 2008 11:29
Last Modified:05 Apr 2016 12:27
Publisher:Springer
ISSN:1133-0686
Additional Information:The original publication is available at www.springerlink.com
Publisher DOI:10.1007/s11749-008-0114-x

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