Scientific article
OA Policy
English

Proper scoring rules for multivariate probabilistic forecasts based on aggregation and transformation

First online date2025-03-13
Abstract

Proper scoring rules are an essential tool to assess the predictive performance of probabilistic forecasts. However, propriety alone does not ensure an informative characterization of predictive performance, and it is recommended to compare forecasts using multiple scoring rules. With that in mind, interpretable scoring rules providing complementary information are necessary. We formalize a framework based on aggregation and transformation to build interpretable multivariate proper scoring rules. Aggregation-and-transformation-based scoring rules can target application-specific features of probabilistic forecasts, which improves the characterization of the predictive performance. This framework is illustrated through examples taken from the weather forecasting literature, and numerical experiments are used to showcase its benefits in a controlled setting. Additionally, the framework is tested on real-world data of postprocessed wind speed forecasts over central Europe. In particular, we show that it can help bridge the gap between proper scoring rules and spatial verification tools.

Keywords
  • Forecast verification
  • Weather forecasts
  • Scoring rules
  • Spatial fields
Affiliation entities Not a UNIGE publication
Funding
  • French National Research Agency (ANR) - new TRends in EXtremes, prediction and validation [ANR-20-CE40-0025-01]
  • EU Horizon2020 - Energy-oriented Centre of Excellence II [824158]
  • CNRS-INSU - ExtremesLearning
  • French National Research Agency (ANR) - PEPR TRACCS [ANR-22-EXTR-0005]
  • French National Research Agency (ANR) - EXtremes, STatistical learning and Applications [ANR-23-CE40-0009]
Citation (ISO format)
PIC, Romain et al. Proper scoring rules for multivariate probabilistic forecasts based on aggregation and transformation. In: Advances in statistical climatology, meteorology and oceanography, 2025, vol. 11, n° 1, p. 23–58. doi: 10.5194/ascmo-11-23-2025
Main files (1)
Article (Published version)
accessLevelPublic
Identifiers
Additional URL for this publicationhttps://ascmo.copernicus.org/articles/11/23/2025/
Journal ISSN2364-3579
58views
33downloads

Technical informations

Creation14/03/2025 01:31:31
First validation17/03/2025 07:44:20
Update19/03/2025 08:38:29
Status update19/03/2025 08:38:29
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