Article Dans Une Revue Advances in Statistical Climatology, Meteorology and Oceanography Année : 2025

Proper Scoring Rules for Multivariate Probabilistic Forecasts based on Aggregation and Transformation

Résumé

Proper scoring rules are an essential tool to assess the predictive performance of probabilistic forecasts. However, propriety alone does not ensure an informative characterization of predictive performance, and it is recommended to compare forecasts using multiple scoring rules. With that in mind, interpretable scoring rules providing complementary information are necessary. We formalize a framework based on aggregation and transformation to build interpretable multivariate proper scoring rules. Aggregation-and-transformation-based scoring rules can target application-specific features of probabilistic forecasts, which improves the characterization of the predictive performance. This framework is illustrated through examples taken from the weather forecasting literature, and numerical experiments are used to showcase its benefits in a controlled setting. Additionally, the framework is tested on real-world data of postprocessed wind speed forecasts over central Europe. In particular, we show that it can help bridge the gap between proper scoring rules and spatial verification tools.

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Cite 10.5281/zenodo.14982271 Ouvrage Romain Pic. (2025). pic-romain/aggregation-transformation: ASCMO publication (Version v1.0). Zenodo. https://doi.org/10.5281/ZENODO.14982271

https://github.com/pic-romain/aggregation-transformation
DOI

Cite 10.5281/zenodo.10201289 Ouvrage sallen12. (2023). sallen12/MultivCalibration: MultivCalibration v.1.0 (Version v.1.0). Zenodo. https://doi.org/10.5281/ZENODO.10201289

DOI

Cite 10.5281/zenodo.7429236 Jeu de données Demaeyer, J. (2022). EUPPBench postprocessing benchmark dataset - gridded data - Part I (Version v1.0) [Data set]. Zenodo. https://doi.org/10.5281/ZENODO.7429236

Dates et versions

hal-04629671 , version 1 (30-06-2024)
hal-04629671 , version 2 (18-03-2025)

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Romain Pic, Clément Dombry, Philippe Naveau, Maxime Taillardat. Proper Scoring Rules for Multivariate Probabilistic Forecasts based on Aggregation and Transformation. Advances in Statistical Climatology, Meteorology and Oceanography, 2025, 11 (1), pp.23--58. ⟨10.5194/ascmo-11-23-2025⟩. ⟨hal-04629671v2⟩
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