2022
DOI: 10.48550/arxiv.2205.07090
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Evaluating Forecasts with scoringutils in R

Abstract: Evaluating forecasts is essential in order to understand and improve forecasting and make forecasts useful to decision-makers. Much theoretical work has been done on the development of proper scoring rules and other scoring metrics that can help evaluate forecasts. In practice, however, conducting a forecast evaluation and comparison of different forecasters remains challenging. In this paper we introduce scoringutils, an R package that aims to greatly facilitate this process. It is especially geared towards c… Show more

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Cited by 8 publications
(4 citation statements)
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References 26 publications
(45 reference statements)
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“…While the overall skill for nine of the 10 models was similar, regression analyses identified specific differences in predicted skill based on historical case counts and observed case counts that provide insight on forecast failures. For all predictions, we found a general association between higher observed values and increased surprisal (worse skill) as has been noted in other forecasting studies (Bosse et al, 2022). Accounting for this relationship, we found important between-model differences in skill for different scenarios.…”
Section: Discussionsupporting
confidence: 85%
“…While the overall skill for nine of the 10 models was similar, regression analyses identified specific differences in predicted skill based on historical case counts and observed case counts that provide insight on forecast failures. For all predictions, we found a general association between higher observed values and increased surprisal (worse skill) as has been noted in other forecasting studies (Bosse et al, 2022). Accounting for this relationship, we found important between-model differences in skill for different scenarios.…”
Section: Discussionsupporting
confidence: 85%
“…For a practical comparison, we take advantage of the fact that a wide variety of forecasts are submitted to the European COVID-19 Forecast Hub [9] and to the COVID-19 Forecast Hub [10]. A study on the methodology to evaluate and compare forecast has been proposed in [11], using the data of this Hub. We shall address the theoretical comparison in section 3.…”
Section: Resultsmentioning
confidence: 99%
“…The WIS is a proper scoring rule that generalises the absolute error and gives penalties for interval spread as well as for over- and underprediction [27]. All three metrics (AE, ECR, WIS) were calculated using the scoringutils package [28]. We used the default summary function implemented in scoringutils (i.e.…”
Section: Methodsmentioning
confidence: 99%