Probabilistic recalibration of forecasts

Details

• Journal Title:
  International Journal of Forecasting
• Personal Author:
  Graziani, Carlo ; Rosner, Robert ; Adams, Jennifer M. ; Machete, Reason L.
• NOAA Program & Office:
  OAR (Oceanic and Atmospheric Research)
• Description:
  We present a scheme by which a probabilistic forecasting system whose predictions have a poor probabilistic calibration may be recalibrated through the incorporation of past performance information in order to produce a new forecasting system that is demonstrably superior to the original, inasmuch as one may use it to win wagers consistently against someone who is using the original system. The scheme utilizes Gaussian process (GP) modeling to estimate a probability distribution over the probability integral transform (PIT) of a scalar predictand. The GP density estimate gives closed-form access to information entropy measures that are associated with the estimated distribution, which allows the prediction of winnings in wagers against the base forecasting system. A separate consequence of the procedure is that the recalibrated forecast has a uniform expected PIT distribution. One distinguishing feature of the procedure is that it is appropriate even if the PIT values are not i.i.d. The recalibration scheme is formulated in a framework that exploits the deep connections among information theory, forecasting, and betting. We demonstrate the effectiveness of the scheme in two case studies: a laboratory experiment with a nonlinear circuit and seasonal forecasts of the intensity of the El Niño-Southern Oscillation phenomenon.
• Keywords:
  Business and International Management
• Source:
  International Journal of Forecasting, 37(1), 1-27
• DOI:
  https://doi.org/10.1016/j.ijforecast.2019.04.019
• ISSN:
  0169-2070
• Format:
  PDF
• Publisher:
  Elsevier BV
• Document Type:
  Journal Article
• Funding:
  Grant no. NA14OAR4310160
• Rights Information:
  Accepted Manuscript
• Compliance:
  Library
• Main Document Checksum:
  urn:sha256:f2f8f45c29298eecaba94f4b6e4d987cb6b97a38d9b093825b91aa462d767ccb
• Download URL:
  https://repository.library.noaa.gov/view/noaa/57494/noaa_57494_DS1.pdf
• File Type:
  [PDF - 1.84 MB ]