Evaluating probabilistic forecasts of extremes using continuous ranked probability score distributions

Verifying probabilistic forecasts for extreme events is a highly active research area because popular media and public opinions are naturally focused on events, biased conclusions readily made. In this context, classical verification methods tailored such as thresholded weighted scoring rules, have undesirable properties that cannot be mitigated, the well-known continuous ranked probability score (CRPS) no exception. paper, we define formal framework assessing behavior of forecast evaluation procedures with respect to which use demonstrate assessment based expectation proper not suitable extremes. Alternatively, propose studying CRPS random variable by using value theory address event verification. An index introduced compare calibrated forecasts, summarizes ability predicting The strengths limitations method discussed both theoretical arguments simulations.