Evaluating forecasts for high-impact events using transformed kernel scores

Abstract: It is informative to evaluate a forecaster's ability to predict outcomes that have a large impact on the forecast user. Although weighted scoring rules have become a well-established tool to achieve this, such scores have been studied almost exclusively in the univariate case, with interest typically placed on extreme events. However, a large impact may also result from events not considered to be extreme from a statistical perspective: the interaction of several moderate events could also generate a high impact. Compound weather events provide a good example of this. To assess forecasts made for high-impact events, this work extends existing results on weighted scoring rules by introducing weighted multivariate scores. To do so, we utilise kernel scores. We demonstrate that the threshold-weighted continuous ranked probability score (twCRPS), arguably the most well-known weighted scoring rule, is a kernel score. This result leads to a convenient representation of the twCRPS when the forecast is an ensemble, and also permits a generalisation that can be employed with alternative kernels, allowing us to introduce, for example, a threshold-weighted energy score and threshold-weighted variogram score. To illustrate the additional information that these weighted multivariate scoring rules provide, results are presented for a case study in which the weighted scores are used to evaluate daily precipitation accumulation forecasts, with particular interest on events that could lead to flooding.