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Evaluating probabilistic forecasts of extremes using continuous ranked probability score distributions

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  • Taillardat, Maxime
  • Fougères, Anne-Laure
  • Naveau, Philippe
  • de Fondeville, Raphaël

Abstract

Verifying probabilistic forecasts for extreme events is a highly active research area because popular media and public opinions are naturally focused on extreme events, and biased conclusions are readily made. In this context, classical verification methods tailored for extreme events, such as thresholded and weighted scoring rules, have undesirable properties that cannot be mitigated, and the well-known continuous ranked probability score (CRPS) is no exception.

Suggested Citation

  • Taillardat, Maxime & Fougères, Anne-Laure & Naveau, Philippe & de Fondeville, Raphaël, 2023. "Evaluating probabilistic forecasts of extremes using continuous ranked probability score distributions," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1448-1459.
    • Handle: RePEc:eee:intfor:v:39:y:2023:i:3:p:1448-1459
    DOI: 10.1016/j.ijforecast.2022.07.003
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    References listed on IDEAS

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