On a conjectured sharpness principle for probabilistic forecasting with calibration

2009/02/02 by Soumik Pal, Pal, Soumik
Decision Sciences · Engineering · Mathematics · #Forecasting Techniques and Applications #Reservoir Engineering and Simulation Methods #Statistical and numerical algorithms #math.PR #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.0902.0342

6 pages; accepted for publication in the Biometrika

arxiv created 2009/02/02 · arxiv updated 2009/12/01

Abstract

This note proves a weak type of the sharpness principle as conjectured by Gneiting, Balabdaoui, and Raftery in 2007 in connection with probabilistic forecasting subject to calibration constraints. A strong version of such a principle still awaits a proper formulation.

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