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

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  • Tilmann Gneiting
  • Larissa Stanberry
  • Eric Grimit
  • Leonhard Held
  • Nicholas Johnson

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  • 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.
    • Handle: RePEc:spr:testjl:v:17:y:2008:i:2:p:211-235
    DOI: 10.1007/s11749-008-0114-x
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    References listed on IDEAS

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    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. Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CIRJE F-Series CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo.
    3. 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.
    4. R. Winkler & Javier Muñoz & José Cervera & José Bernardo & Gail Blattenberger & Joseph Kadane & Dennis Lindley & Allan Murphy & Robert Oliver & David Ríos-Insua, 1996. "Scoring rules and the evaluation of probabilities," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 1-60, June.
    5. Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
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