Sunday, January 14, 2018

Comparing Interval Forecasts

Here's a new one, "On the Comparison of Interval Forecasts".  

You'd think that interval forecast evaluation would be easy.  After all, point forecast evaluation is (more or less) well understood and easy, and density forecast evaluation is (more or less) well understood and easy, and interval forecasts seem  somewhere in between, so by some sort of continuity argument you'd think that their evaluation would also be well understood and easy.  But no.  In fact it's quite difficult, maybe impossible...