Scaling of scoring rules
De Jonas Wallin
Apparaît dans la collection : Mathematical Methods of Modern Statistics 2 / Méthodes mathématiques en statistiques modernes 2
Averages of proper scoring rules are often used to rank probabilistic forecasts. In many cases, the individual observations and their predictive distributions in these averages have variable scale (variance). I will show that some of the most popular proper scoring rules, such as the continuous ranked probability score (CRPS), up-weight observations with large uncertainty which can lead to unintuitive rankings. We have developed a new scoring rule, scaled CRPS (SCRPS), this new proper scoring rule is locally scale invariant and therefore works in the case of varying uncertainty. I will demonstrate this how this affects model selection through parameter estimation in spatial statitics.
