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A Score Regression Approach to Assess Calibration of Continuous Probabilistic Predictions

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  • L. Held
  • K. Rufibach
  • F. Balabdaoui

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  • L. Held & K. Rufibach & F. Balabdaoui, 2010. "A Score Regression Approach to Assess Calibration of Continuous Probabilistic Predictions," Biometrics, The International Biometric Society, vol. 66(4), pages 1295-1305, December.
    • Handle: RePEc:bla:biomet:v:66:y:2010:i:4:p:1295-1305
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    File URL: http://hdl.handle.net/10.1111/j.1541-0420.2010.01406.x
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    References listed on IDEAS

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    1. Tilmann Gneiting & Fadoua Balabdaoui & Adrian E. Raftery, 2007. "Probabilistic forecasts, calibration and sharpness," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(2), pages 243-268, April.
    2. Claudia Czado & Tilmann Gneiting & Leonhard Held, 2009. "Predictive Model Assessment for Count Data," Biometrics, The International Biometric Society, vol. 65(4), pages 1254-1261, December.
    3. Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
    4. Gneiting, Tilmann & Larson, Kristin & Westrick, Kenneth & Genton, Marc G. & Aldrich, Eric, 2006. "Calibrated Probabilistic Forecasting at the Stateline Wind Energy Center: The Regime-Switching SpaceTime Method," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 968-979, September.
    5. Tilmann Gneiting & Larissa Stanberry & Eric Grimit & Leonhard Held & Nicholas Johnson, 2008. "Rejoinder on: Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(2), pages 256-264, August.
    6. A. Azzalini & A. Capitanio, 1999. "Statistical applications of the multivariate skew normal distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(3), pages 579-602.
    7. Tilmann Gneiting & Larissa Stanberry & Eric Grimit & Leonhard Held & Nicholas Johnson, 2008. "Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(2), pages 211-235, August.
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    Cited by:

    1. Bernard Roblès & Manuel Avila & Florent Duculty & Pascal Vrignat & Stephane Bégot & Frédéric Kratz, 2014. "Hidden Markov model framework for industrial maintenance activities," Journal of Risk and Reliability, , vol. 228(3), pages 230-242, June.
    2. Knüppel, Malte & Krüger, Fabian & Pohle, Marc-Oliver, 2022. "Score-based calibration testing for multivariate forecast distributions," Discussion Papers 50/2022, Deutsche Bundesbank.
    3. Wei Wei & Leonhard Held, 2014. "Calibration tests for count data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(4), pages 787-805, December.
    4. Braun, Julia & Sabanés Bové, Daniel & Held, Leonhard, 2014. "Choice of generalized linear mixed models using predictive crossvalidation," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 190-202.
    5. Julia Braun & Leonhard Held & Bruno Ledergerber, 2012. "Predictive Cross-validation for the Choice of Linear Mixed-Effects Models with Application to Data from the Swiss HIV Cohort Study," Biometrics, The International Biometric Society, vol. 68(1), pages 53-61, March.
    6. Sebastian Funk & Anton Camacho & Adam J Kucharski & Rachel Lowe & Rosalind M Eggo & W John Edmunds, 2019. "Assessing the performance of real-time epidemic forecasts: A case study of Ebola in the Western Area region of Sierra Leone, 2014-15," PLOS Computational Biology, Public Library of Science, vol. 15(2), pages 1-17, February.
    7. Samuel Pawel & Leonhard Held, 2020. "Probabilistic forecasting of replication studies," PLOS ONE, Public Library of Science, vol. 15(4), pages 1-23, April.
    8. Wei, Wei & Balabdaoui, Fadoua & Held, Leonhard, 2017. "Calibration tests for multivariate Gaussian forecasts," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 216-233.

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