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SUMMARY:Assessing the calibration of multi-horizon\, probabilistic forecas
 ts - Christopher Ferro (University of Exeter)
DTSTART:20250603T130000Z
DTEND:20250603T140000Z
UID:TALK230863@talks.cam.ac.uk
DESCRIPTION:We propose a new method for assessing calibration based on rev
 isions of probabilistic forecasts. Such revisions refer to how forecasts f
 or an outcome change as the forecasts are updated over time. We begin by e
 xtending the definition of a forecast revision from point forecasts to pro
 babilistic forecasts. Then we show that if the forecasts are well calibrat
 ed (efficient) then the revisions form a sequence of independent uniform r
 andom variables. This motivates new statistical tests to detect miscalibra
 tion.
LOCATION:Seminar Room 1\, Newton Institute
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