Quantile forecast discrimination ability and value

Zied Ben Bouallègue, Pierre Pinson, Petra Friederichs

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Abstract

While probabilistic forecast verification for categorical forecasts is well established, some of the existing concepts and methods have not found their equivalent for the case of continuous variables. New tools dedicated to the assessment of forecast discrimination ability and forecast value are introduced here, based on quantile forecasts being the base product for the continuous case. The relative user characteristic (RUC) curve and the quantile value plot allow analysing the performance of a forecast for a specific user in a decision-making framework. The RUC curve is designed as a user-based discrimination tool and the quantile value plot translates forecast discrimination ability in terms of economic value. The relationship between the overall value of a quantile forecast and the respective quantile skill score is also discussed. The application of these new verification approaches and tools is illustrated based on synthetic datasets, as well as for the case of global radiation forecasts from the high resolution ensemble COSMO-DE-EPS of the German Weather Service.
Original languageEnglish
JournalQuarterly Journal of the Royal Meteorological Society
Volume141
Issue number693
Pages (from-to)3415–3424
Number of pages10
ISSN0035-9009
DOIs
Publication statusPublished - 2015

Keywords

  • Quantile forecast
  • Value
  • Discrimination
  • Cost-loss
  • Forecast verification

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