Probabilistic Forecasting

First published: 2014

Brief summary

Gneiting & Katzfuss review on probabilistic forecasting principles.

Article

Probabilistic Forecasting is covered by the linked source. Gneiting & Katzfuss review on probabilistic forecasting principles.

The material from Annual Reviews presents a forecasting method, software implementation, benchmark or evaluation procedure.

Sound forecasting preserves time order, compares models with simple baselines and evaluates performance at the intended horizon. Point accuracy and uncertainty may both matter.

Performance can deteriorate after structural change. Model selection and preprocessing must use training data only, with final results measured on genuinely unseen periods.

Source details and credits

• Source / publisher: Annual Reviews
• Source type: Review
• URL type: WWW
• Credits: Annual Reviews
• URL: https://doi.org/10.1146/annurev-statistics-062713-085831