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Extending Extended Logistic Regression for Ensemble Post-Processing: Extended vs. Separate vs. Ordered vs. Censored

Author

Listed:
  • Jakob W. Messner
  • Georg J. Mayr
  • Daniel S. Wilks
  • Achim Zeileis

Abstract

Extended logistic regression is a recent ensemble calibration method that extends logistic regression to provide full continuous probability distribution forecasts. It assumes conditional logistic distributions for the (transformed) predictand and fits these using selected predictand category probabilities. In this study we compare extended logistic regression to the closely related ordered and censored logistic regression models. Ordered logistic regression avoids the logistic distribution assumption but does not yield full probability distribution forecasts, whereas censored regression directly fits the full conditional predictive distributions. To compare the performance of these and other ensemble post-processing methods we used wind speed and precipitation data from two European locations and ensemble forecasts from the European Centre for Medium-Range Weather Forecasts (ECMWF). Ordered logistic regression performed similarly to extended logistic regression for probability forecasts of discrete categories whereas full predictive distributions were better predicted by censored regression.

Suggested Citation

  • Jakob W. Messner & Georg J. Mayr & Daniel S. Wilks & Achim Zeileis, 2013. "Extending Extended Logistic Regression for Ensemble Post-Processing: Extended vs. Separate vs. Ordered vs. Censored," Working Papers 2013-32, Faculty of Economics and Statistics, Universität Innsbruck.
    • Handle: RePEc:inn:wpaper:2013-32
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    References listed on IDEAS

    as
    1. James E. Matheson & Robert L. Winkler, 1976. "Scoring Rules for Continuous Probability Distributions," Management Science, INFORMS, vol. 22(10), pages 1087-1096, June.
    2. Thordis L. Thorarinsdottir & Tilmann Gneiting, 2010. "Probabilistic forecasts of wind speed: ensemble model output statistics by using heteroscedastic censored regression," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 371-388, April.
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    More about this item

    Keywords

    probabilistic forecasting; extended logistic regression; ordered logistic regression; heteroscedasticity;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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