Ensembles used for probabilistic weather forecasting often exhibit a spread-error correlation, but they tend to be underdispersive. This paper proposes a statistical method for postprocessing ensembles based on Bayesian model averaging (BMA), which is a standard method for combining predictive distributions from different sources. The BMA predictive probability density function (PDF) of any quantity of interest is a weighted average of PDFs centered on the individual bias-corrected forecasts, where the weights are equal to posterior probabilities of the models generating the forecasts and reflect the models' relative contributions to predictive skill over the training period. The BMA weights can be used to assess the usefulness of ensemble members, and this can be used as a basis for selecting ensemble members; this can be useful given the cost of running large ensembles. The BMA PDF can be represented as an unweighted ensemble of any desired size, by simulating from the BMA predictive distribution.The BMA predictive variance can be decomposed into two components, one corresponding to the between-forecast variability, and the second to the within-forecast variability. Predictive PDFs or intervals based solely on the ensemble spread incorporate the first component but not the second. Thus BMA provides a theoretical explanation of the tendency of ensembles to exhibit a spread-error correlation but yet be underdispersive.The method was applied to 48-h forecasts of surface temperature in the Pacific Northwest in JanuaryJune 2000 using the University of Washington fifth-generation Pennsylvania State University-NCAR Mesoscale Model (MM5) ensemble. The predictive PDFs were much better calibrated than the raw ensemble, and the BMA forecasts were sharp in that 90% BMA prediction intervals were 66% shorter on average than those produced by sample climatology. As a by-product, BMA yields a deterministic point forecast, and this had root-mean-square errors 7% lower than the best of the ensemble members and 8% lower than the ensemble mean. Similar results were obtained for forecasts of sea level pressure. Simulation experiments show that BMA performs reasonably well when the underlying ensemble is calibrated, or even overdispersed.

Summary. Probabilistic forecasts of continuous variables take the form of predictive densities or predictive cumulative distribution functions. We propose a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive distributions subject to calibration. Calibration refers to the statistical consistency between the distributional forecasts and the observations and is a joint property of the predictions and the events that materialize. Sharpness refers to the concentration of the predictive distributions and is a property of the forecasts only. A simple theoretical framework allows us to distinguish between probabilistic calibration, exceedance calibration and marginal calibration. We propose and study tools for checking calibration and sharpness, among them the probability integral transform histogram, marginal calibration plots, the sharpness diagram and proper scoring rules. The diagnostic approach is illustrated by an assessment and ranking of probabilistic forecasts of wind speed at the Stateline wind energy centre in the US Pacific Northwest. In combination with cross-validation or in the time series context, our proposal provides very general, nonparametric alternatives to the use of information criteria for model diagnostics and model selection.

Ensembles used for probabilistic weather forecasting often exhibit a spread-error correlation, but they tend to be underdispersive. This paper proposes a statistical method for postprocessing ensembles based on Bayesian model averaging (BMA), which is a standard method for combining predictive distributions from different sources. The BMA predictive probability density function (PDF) of any quantity of interest is a weighted average of PDFs centered on the individual bias-corrected forecasts, where the weights are equal to posterior probabilities of the models generating the forecasts and reflect the models' relative contributions to predictive skill over the training period. The BMA weights can be used to assess the usefulness of ensemble members, and this can be used as a basis for selecting ensemble members; this can be useful given the cost of running large ensembles. The BMA PDF can be represented as an unweighted ensemble of any desired size, by simulating from the BMA predictive distribution.The BMA predictive variance can be decomposed into two components, one corresponding to the between-forecast variability, and the second to the within-forecast variability. Predictive PDFs or intervals based solely on the ensemble spread incorporate the first component but not the second. Thus BMA provides a theoretical explanation of the tendency of ensembles to exhibit a spread-error correlation but yet be underdispersive.The method was applied to 48-h forecasts of surface temperature in the Pacific Northwest in JanuaryJune 2000 using the University of Washington fifth-generation Pennsylvania State University-NCAR Mesoscale Model (MM5) ensemble. The predictive PDFs were much better calibrated than the raw ensemble, and the BMA forecasts were sharp in that 90% BMA prediction intervals were 66% shorter on average than those produced by sample climatology. As a by-product, BMA yields a deterministic point forecast, and this had root-mean-square errors 7% lower than the best of the ensemble members and 8% lower than the ensemble mean. Similar results were obtained for forecasts of sea level pressure. Simulation experiments show that BMA performs reasonably well when the underlying ensemble is calibrated, or even overdispersed.

We find limiting distributions of the nonparametric maximum likelihood estimator (MLE) of a log-concave density, i.e. a density of the form f0 = exp ϕ0 where ϕ0 is a concave function on ℝ. Existence, form, characterizations and uniform rates of convergence of the MLE are given by Rufibach (2006) and Dümbgen and Rufibach (2007). The characterization of the log–concave MLE in terms of distribution functions is the same (up to sign) as the characterization of the least squares estimator of a convex density on [0, ∞) as studied by Groeneboom, Jongbloed and Wellner (2001b). We use this connection to show that the limiting distributions of the MLE and its derivative are, under comparable smoothness assumptions, the same (up to sign) as in the convex density estimation problem. In particular, changing the smoothness assumptions of Groeneboom, Jongbloed and Wellner (2001b) slightly by allowing some higher derivatives to vanish at the point of interest, we find that the pointwise limiting distributions depend on the second and third derivatives at 0 of Hk, the “lower invelope” of an integrated Brownian motion process minus a drift term depending on the number of vanishing derivatives of ϕ0 = log f0 at the point of interest. We also establish the limiting distribution of the resulting estimator of the mode M(f0) and establish a new local asymptotic minimax lower bound which shows the optimality of our mode estimator in terms of both rate of convergence and dependence of constants on population values.

Summary. Probabilistic forecasts of continuous variables take the form of predictive densities or predictive cumulative distribution functions. We propose a diagnostic approach to the evaluation of predictive performance that is based on the paradigm of maximizing the sharpness of the predictive distributions subject to calibration. Calibration refers to the statistical consistency between the distributional forecasts and the observations and is a joint property of the predictions and the events that materialize. Sharpness refers to the concentration of the predictive distributions and is a property of the forecasts only. A simple theoretical framework allows us to distinguish between probabilistic calibration, exceedance calibration and marginal calibration. We propose and study tools for checking calibration and sharpness, among them the probability integral transform histogram, marginal calibration plots, the sharpness diagram and proper scoring rules. The diagnostic approach is illustrated by an assessment and ranking of probabilistic forecasts of wind speed at the Stateline wind energy centre in the US Pacific Northwest. In combination with cross-validation or in the time series context, our proposal provides very general, nonparametric alternatives to the use of information criteria for model diagnostics and model selection.

We study the asymptotic behavior of the Maximum Likelihood and Least Squares Estimators of a k-monotone density g0 at a fixed point x0 when k > 2. We find that the jth derivative of the estimators at x0 converges at the rate n −(k−j)/(2k+1) for j = 0, . . . , k − 1. The limiting distribution depends on an almost surely uniquely defined stochastic process H k that stays above (below) the k-fold integral of Brownian motion plus a deterministic drift when k is even (odd). Both the MLE and LSE are known to be splines of degree k − 1 with simple knots. Establishing the order of the random gap τ + n − τ − n , where τ ± n denote two successive knots, is a key ingredient of the proof of the main results. We show that this "gap problem" can be solved if a conjecture about the upper bound on the error in a particular Hermite interpolation via odd-degree splines holds.

We consider estimation in the single‐index model where the link function is monotone. For this model, a profile least‐squares estimator has been proposed to estimate the unknown link function and index. Although it is natural to propose this procedure, it is still unknown whether it produces index estimates that converge at the parametric rate. We show that this holds if we solve a score equation corresponding to this least‐squares problem. Using a Lagrangian formulation, we show how one can solve this score equation without any reparametrization. This makes it easy to solve the score equations in high dimensions. We also compare our method with the effective dimension reduction and the penalized least‐squares estimator methods, both available on CRAN as R packages, and compare with link‐free methods, where the covariates are elliptically symmetric.

We consider least squares estimators of the finite regression parameter α in the single indexand where ψ is monotone. It has been suggested to estimate α by a profile least squares estimator, minimizing n i=1 (Y i − ψ(α T X i )) 2 over monotone ψ and α on the boundary S d−1 of the unit ball. Although this suggestion has been around for a long time, it is still unknown whether the estimate is √ n convergent. We show that a profile least squares estimator, using the same pointwise least squares estimator for fixed α, but using a different global sum of squares, is √ n-convergent and asymptotically normal. The difference between the corresponding loss functions is studied and also a comparison with other methods is given.imsart-generic ver.