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- W4366565360 abstract "Multivariate probabilistic time series forecasts are commonly evaluated via proper scoring rules, i.e., functions that are minimal in expectation for the ground-truth distribution. However, this property is not sufficient to guarantee good discrimination in the non-asymptotic regime. In this paper, we provide the first systematic finite-sample study of proper scoring rules for time-series forecasting evaluation. Through a power analysis, we identify the region of reliability of a scoring rule, i.e., the set of practical conditions where it can be relied on to identify forecasting errors. We carry out our analysis on a comprehensive synthetic benchmark, specifically designed to test several key discrepancies between ground-truth and forecast distributions, and we gauge the generalizability of our findings to real-world tasks with an application to an electricity production problem. Our results reveal critical shortcomings in the evaluation of multivariate probabilistic forecasts as commonly performed in the literature." @default.
- W4366565360 created "2023-04-22" @default.
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- W4366565360 date "2023-04-19" @default.
- W4366565360 modified "2023-09-27" @default.
- W4366565360 title "Regions of Reliability in the Evaluation of Multivariate Probabilistic Forecasts" @default.
- W4366565360 doi "https://doi.org/10.48550/arxiv.2304.09836" @default.
- W4366565360 hasPublicationYear "2023" @default.
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