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On the statistical formalism of uncertainty quantification

Berger, James O. and Smith, Leonard A. (2019) On the statistical formalism of uncertainty quantification. Annual Review of Statistics and Its Application, 6. 3.1-3.28. ISSN 2326-8298

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Identification Number: 10.1146/annurev-statistics-030718-105232

Abstract

The use of models to try to better understand reality is ubiquitous. Models have proven useful in testing our current understanding of reality; for instance, climate models of the 1980s were built for science discovery, to achieve a better understanding of the general dynamics of climate systems. Scientific insights often take the form of general qualitative predictions (i.e., “under these conditions, the Earth’s poles will warm more than the rest of the planet”); such use of models differs from making quantitative forecasts of specific events (i.e. “high winds at noon tomorrow at London’s Heathrow Airport”). It is sometimes hoped that, after sufficient model development, any model can be used to make quantitative forecasts for any target system. Even if that were the case, there would always be some uncertainty in the prediction. Uncertainty quantification aims to provide a framework within which that uncertainty can be discussed and, ideally, quantified, in a manner relevant to practitioners using the forecast system. A statistical formalism has developed that claims to be able to accurately assess the uncertainty in prediction. This article is a discussion of if and when this formalism can do so. The article arose from an ongoing discussion between the authors concerning this issue, the second author generally being considerably more skeptical concerning the utility of the formalism in providing quantitative decision-relevant information.

Item Type: Article
Official URL: https://www.annualreviews.org/
Additional Information: © 2019 Annual Reviews
Divisions: Centre for Analysis of Time Series
Subjects: Q Science > QA Mathematics
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Date Deposited: 20 Dec 2018 12:49
Last Modified: 31 Jan 2019 13:48
URI: http://eprints.lse.ac.uk/id/eprint/91403

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