Model Diagnostics and Forecast Evaluation for Quantiles

نویسندگان

چکیده

Model diagnostics and forecast evaluation are closely related tasks, with the former concerning in-sample goodness (or lack) of fit latter addressing predictive performance out-of-sample. We review ubiquitous setting in which forecasts cast form quantiles or quantile-bounded prediction intervals. distinguish unconditional calibration, corresponds to classical coverage criteria, from stronger notion conditional as can be visualized quantile reliability diagrams. Consistent scoring functions—including, but not limited to, widely used asymmetricpiecewise linear score pinball loss—provide for comparative assessment ranking, link coefficient determination skill scores. illustrate use these tools on Engel's food expenditure data, Global Energy Forecasting Competition 2014, US COVID-19 Forecast Hub.

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ژورنال

عنوان ژورنال: Annual review of statistics and its application

سال: 2023

ISSN: ['2326-8298', '2326-831X']

DOI: https://doi.org/10.1146/annurev-statistics-032921-020240