Publication: A score regression approach to assess calibration of continuous probabilistic predictions
A score regression approach to assess calibration of continuous probabilistic predictions
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Held, L., Rufibach, K., & Balabdaoui, F. (2010). A score regression approach to assess calibration of continuous probabilistic predictions. Biometrics, 66(4), 1295–1305. https://doi.org/10.1111/j.1541-0420.2010.01406.x
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Calibration, the statistical consistency of forecast distributions and the observations, is a central requirement for probabilistic predictions. Calibration of continuous forecasts is typically assessed using the probability integral transform histogram. In this article, we propose significance tests based on scoring rules to assess calibration of continuous predictive distributions. For an ideal normal forecast we derive the first two moments of two commonly used scoring rules: the logarithmic and the continuous ranked probability sc
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- Held, L
- Rufibach, K
- Balabdaoui, F
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Held, L., Rufibach, K., & Balabdaoui, F. (2010). A score regression approach to assess calibration of continuous probabilistic predictions. Biometrics, 66(4), 1295–1305. https://doi.org/10.1111/j.1541-0420.2010.01406.x
