Interpreting the skill score form of forecast performance metrics

Wheatcroft, Edward ORCID: 0000-0002-7301-0889 (2019) Interpreting the skill score form of forecast performance metrics. International Journal of Forecasting, 35 (2). pp. 573-579. ISSN 0169-2070

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Abstract

Performance measures of point forecasts are expressed commonly as skill scores, in which the performance gain from using one forecasting system over another is expressed as a proportion of the gain achieved by forecasting that outcome perfectly. Increasingly, it is common to express scores of probabilistic forecasts in this form; however, this paper presents three criticisms of this approach. Firstly, initial condition uncertainty (which is outside the forecaster's control) limits the capacity to improve a probabilistic forecast, and thus a ‘perfect’ score is often unattainable. Secondly, the skill score forms of the ignorance and Brier scores are biased. Finally, it is argued that the skill score form of scoring rules destroys the useful interpretation in terms of the relative skill levels of two forecasting systems. Indeed, it is often misleading, and useful information is lost when the skill score form is used in place of the original score.

Item Type:	Article
Official URL:	https://www.journals.elsevier.com/international-jo...
Additional Information:	© 2019 Crown Copyright
Divisions:	Centre for Analysis of Time Series
Subjects:	Q Science > QA Mathematics
Date Deposited:	10 Dec 2018 09:44
Last Modified:	29 Mar 2024 03:33
Funders:	LSE KEI Fund, Lighthill Risk Network
URI:	http://eprints.lse.ac.uk/id/eprint/91134

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