We describe some fast algorithms for reconciling large collections of time series forecasts with aggregation constraints. The constraints arise due to the need for forecasts of collections of time series with hierarchical or grouped structures to add up in the same manner as the observed time series. We show that the least squares approach to reconciling hierarchical forecasts can be extended t...

We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast encompassing, present the limiting distributions of the test statistics, and investigate the impact of estimating the forecasting models’ parameters on these distributions. The small-sample performance is investigated, in ter...

A new approach for developing multimodel streamflow forecasts is presented. The methodology combines streamflow forecasts from individual models by evaluating their skill, represented by rank probability score (RPS), contingent on the predictor state. Using average RPS estimated over the chosen neighbors in the predictor state space, the methodology assigns higher weights for a model that has b...

Probabilistic forecasts of wind speed are becoming critical as interest grows in wind as a clean and renewable source of energy, in addition to a wide range of other uses, from aviation to recreational boating. Statistical approaches to wind forecasting offer two particular challenges: the distribution of wind speeds is highly skewed, and wind observations are reported to the nearest whole knot...

The Collaboratory for the Study of Earthquake Predictability (CSEP) aims to prospectively test time-dependent earthquake probability forecasts on their consistency with observations. To compete, time-dependent seismicity models are calibrated on earthquake catalog data. But catalogs contain much observational uncertainty. We study the impact of magnitude uncertainties on rate estimates in clust...

INTEGRATION, COINTEGRATION AND THE FORECAST CONSISTENCY OF STRUCTURAL EXCHANGE RATE MODELS Exchange rate forecasts are generated using some popular monetary models of exchange rates, in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality, which entails the following requirements: the forecast and the actual series i) have...

Statistical forecasts of Atlantic basin seasonal hurricane activity have been issued since 1984 by the Tropical Meteorology Project at Colorado State University (CSU) headed by William Gray. Since these initial forecasts were developed, considerable improvements in data and statistical techniques have led to improved amounts of skill in both hindcasting and forecasting of seasonal Atlantic basi...

[1] A new approach to combine precipitation forecasts from multiple models is evaluated by analyzing the skill of the candidate models contingent on the forecasted predictor(s) state. Using five leading coupled GCMs (CGCMs) from the ENSEMBLES project, we develop multimodel precipitation forecasts over the continental United States (U.S) by considering the forecasted Nino3.4 from each CGCM as th...

A dynamic water allocation framework for a multipurpose, single reservoir is formulated to utilize climate information based reservoir inflow forecasts to quantify the reliability of use for the given demand. Based on the semi-parametric approach of De Souza and Lall [2003], 12 months lead retrospective reservoir inflow forecasts were developed for the period July 1990June 2000 for the Oros res...

BACKGROUND Any improvement in the forecast accuracy of life expectancy would be beneficial for policy decision regarding the allocation of current and future resources. In this paper, I revisit some methods for forecasting age-specific life expectancies. OBJECTIVE This paper proposes a model averaging approach to produce accurate point forecasts of age-specific life expectancies. METHODS Illust...