论文标题
评分间隔预测：等尾，最短和模态间隔
Scoring Interval Forecasts: Equal-Tailed, Shortest, and Modal Interval
论文作者
论文摘要
我们考虑不同类型的预测间隔，并询问它们是否有可能，即是损失或评分功能的独特最小化。相等的间隔是可取的，具有丰富的合适损失功能，尽管符合翻译不变性或正同质性和不同性，但Winkler Interval评分成为独特的选择。模态间隔也很明显，具有唯一一致的评分函数，直至等效。但是，最短的间隔相对于实际相关的分布类别而言并未得到理解。这些结果提供了间隔预测评估的指导，并支持预测竞赛中绩效指标的最新选择。
We consider different types of predictive intervals and ask whether they are elicitable, i.e. are unique minimizers of a loss or scoring function in expectation. The equal-tailed interval is elicitable, with a rich class of suitable loss functions, though subject to translation invariance, or positive homogeneity and differentiability, the Winkler interval score becomes a unique choice. The modal interval also is elicitable, with a sole consistent scoring function, up to equivalence. However, the shortest interval fails to be elicitable relative to practically relevant classes of distributions. These results provide guidance in interval forecast evaluation and support recent choices of performance measures in forecast competitions.
