Scoring interval forecasts: Equal-tailed, shortest, and modal interval

نویسندگان

چکیده

We consider different types of predictive intervals and ask whether they are elicitable, that is, unique minimizers a loss or scoring function in expectation. The equal-tailed interval is with rich class suitable functions, though subject to translation invariance, positive homogeneity differentiability, the Winkler score becomes choice. modal also sole consistent function, up equivalence. However, shortest fails be elicitable relative practically relevant classes distributions. These results provide guidance forecast evaluation support recent choices performance measures competitions.

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ژورنال

عنوان ژورنال: Bernoulli

سال: 2021

ISSN: ['1573-9759', '1350-7265']

DOI: https://doi.org/10.3150/20-bej1298