Asymptotic variance of Brier (skill) score in the presence of serial correlation

Kajal Lahiri; Liu Yang

doi:10.1016/j.econlet.2015.09.022

Asymptotic variance of Brier (skill) score in the presence of serial correlation

Kajal Lahiri
, Liu Yang

Economics

University at Albany

Nanjing University

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.

Original language	English
Pages (from-to)	125-129
Number of pages	5
Journal	Economics Letters
Volume	141
DOIs	https://doi.org/10.1016/j.econlet.2015.09.022
State	Published - Apr 1 2016

Keywords

Brier score
Brier skill score
Probability forecasts
Serial correlation
Survey of Professional Forecasters

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10.1016/j.econlet.2015.09.022

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title = "Asymptotic variance of Brier (skill) score in the presence of serial correlation",

abstract = "We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.",

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AB - We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.

KW - Brier score

KW - Brier skill score

KW - Probability forecasts

KW - Serial correlation

KW - Survey of Professional Forecasters

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DO - 10.1016/j.econlet.2015.09.022

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JO - Economics Letters

JF - Economics Letters

ER -

Asymptotic variance of Brier (skill) score in the presence of serial correlation

Abstract

Keywords

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