Evaluation of Extreme Forecasts

Evaluation of Extreme Forecasts is part of the One World Extremes Seminar series.

Presented by: Thordis Thorarinsdottir (University of Oslo, Norwegian Computing Center) Joint work with: Thomas Kneib

When predicting extreme events and assessing risk, the evaluation of the forecasts is complicated by a lack of substantial observation set due to the rarity of the outcome of interest. In addition, they are often interested in evaluating specific aspects of the forecasts, such as how well certain tail properties or functionals of the predictive distribution match those of the true data distribution. These types of questions arise in various applications from finance to environmental sciences. In this talk, they will discuss approaches to forecast evaluation in this setting within the frameworks of proper scoring rules and consistent scoring functions.

To join the seminar, the log-in link will be available at: