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Convolution of Scale Invariant Continuous Ranked Probability Scores for Testing Experts' Statistical Accuracy (2304.07894v2)
Published 16 Apr 2023 in stat.ME
Abstract: Computable solutions for expectations of Continuous Ranked Probability Scores are presented. After deriving a scale invariant version of these scores, a closed form for the convolutions of scores is presented. This closed form enables the testing experts' statistical accuracy. Results are compared with tests using a familiar Chi-square goodness of fit test using a recent data set of 6,761 expert probabilistic forecasts for which true values are known.
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