Machine Learning Seminar Johanna Ziegel, University of Bern

Valid sequential inference on probability forecast performance
  • What Machine Learning English
  • When 10-09-2021 from 14:00 to 15:00 (Europe/Amsterdam / UTC200)
  • Where CWI room L016
  • Contact Name
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https://cwi-nl.zoom.us/j/83113639352?pwd=U2NtVC9kWmJkY3NOOGdTMUVSVHorUT09
[Meeting ID: 831 1363 9352    Passcode: 551343]

 

Johanna Ziegel is professor of statistics at the University of Bern

Valid sequential inference on probability forecast performance

Abstract
Probability forecasts for binary events play a central role in many applications. Their quality is commonly assessed with proper scoring rules, which assign forecasts a numerical score such that a correct forecast achieves a minimal expected score. In this paper, we construct e-values for testing the statistical significance of score differences of competing forecasts in sequential settings. E-values have been proposed as an alternative to p-values for hypothesis testing, and they can easily be transformed into conservative p-values by taking the multiplicative inverse. The e-values proposed in this article are valid in finite samples without any assumptions on the data generating processes. They also allow optional stopping, so a forecast user may decide to interrupt evaluation taking into account the available data at any time and still draw statistically valid inference, which is generally not true for classical p-value based tests. In a case study on postprocessing of precipitation forecasts, state-of-the-art forecasts dominance tests and e-values lead to the same conclusions.

 

https://cwi-nl.zoom.us/j/83113639352?pwd=U2NtVC9kWmJkY3NOOGdTMUVSVHorUT09
[Meeting ID: 831 1363 9352    Passcode: 551343]