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Biometrika Advance Access originally published online on October 28, 2009
Biometrika 2009 96(4):1019-1023; doi:10.1093/biomet/asp054
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© 2009 Biometrika Trust

Miscellanea

A note on a conjectured sharpness principle for probabilistic forecasting with calibration

Soumik Pal

Department of Mathematics, University of Washington, Seattle, Washington 98195, U.S.A. soumik{at}u.washington.edu

Received for publication 1 September 2008. Revision received 1 March 2009.
  Abstract

This note proves a weak sharpness principle as conjectured by Gneiting et al. (2007) in connection with probabilistic forecasting subject to calibration constraints.

Key Words: Calibration • Crossvalidation • Density forecast • Forecast verification • Predictive distribution • Prequential principle • Probability integral transform


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