Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- James E. Matheson & Robert L. Winkler, 1976. "Scoring Rules for Continuous Probability Distributions," Management Science, INFORMS, vol. 22(10), pages 1087-1096, June.
- Isao Ishida, 2005.
"Scanning Multivariate Conditional Densities with Probability Integral Transforms,"
CIRJE-F-369, CIRJE, Faculty of Economics, University of Tokyo.
- Isao Ishida, 2005. "Scanning Multivariate Conditional Densities with Probability Integral Transforms," CARF F-Series CARF-F-045, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- 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.
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhang, Yao & Wang, Jianxue & Wang, Xifan, 2014. "Review on probabilistic forecasting of wind power generation," Renewable and Sustainable Energy Reviews, Elsevier, vol. 32(C), pages 255-270.
- Håvard Rue & Sara Martino & Nicolas Chopin, 2009. "Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 319-392.
- Roland Weigand, 2014.
"Matrix Box-Cox Models for Multivariate Realized Volatility,"
144, Bavarian Graduate Program in Economics (BGPE).
- Weigand, Roland, 2014. "Matrix Box-Cox Models for Multivariate Realized Volatility," University of Regensburg Working Papers in Business, Economics and Management Information Systems 478, University of Regensburg, Department of Economics.
- repec:gam:jeners:v:10:y:2017:i:9:p:1402-:d:111989 is not listed on IDEAS
- 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.
- Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
- Wei, Wei & Balabdaoui, Fadoua & Held, Leonhard, 2017. "Calibration tests for multivariate Gaussian forecasts," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 216-233.
- Jonas Wallin & David Bolin, 2015. "Geostatistical Modelling Using Non-Gaussian Matérn Fields," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(3), pages 872-890, September.
- Pinson, P. & Girard, R., 2012. "Evaluating the quality of scenarios of short-term wind power generation," Applied Energy, Elsevier, vol. 96(C), pages 12-20.
- 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.
- 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.
More about this item
KeywordsCalibration; Density forecast; Ensemble postprocessing; Exchangeability; Forecast verification; Probability integral transform; Proper scoring rule; Sharpness; Rank histogram; 62H99; 62P12;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:testjl:v:17:y:2008:i:2:p:211-235. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .