Study Data from London School of Economics Update Understanding of Forecasting Science (Interpreting the Skill Score Form of Forecast Performance Metrics)

2019 JUN 24 (NewsRx) -- By a News Reporter-Staff News Editor at NewsRx Science Daily -- Current study results on Science - Forecasting Science have been published. According to news reporting originating from London, United Kingdom, by NewsRx editors, the research stated, “Performance measures of point forecasts are expressed commonly as skill scores, in which the performance gain from using one forecasting system over another is expressed as a proportion of the gain achieved by forecasting that outcome perfectly. Increasingly, it is common to express scores of probabilistic forecasts in this form; however, this paper presents three criticisms of this approach.”

Financial supporters for this research include Evaluating Probability Scores for the Insurance Sector (EPSIS) project - LSE KEI fund, United Kingdom, Lighthill Risk Network, United Kingdom.

Our news editors obtained a quote from the research from the London School of Economics, “Firstly, initial condition uncertainty (which is outside the forecaster’s control) limits the capacity to improve a probabilistic forecast, and thus a ‘perfect’ score is often unattainable. Secondly, the skill score forms of the ignorance and Brier scores are biased. Finally, it is argued that the skill score form of scoring rules destroys the useful interpretation in terms of the relative skill levels of two forecasting systems.”

According to the news editors, the research concluded: “Indeed, it is often misleading, and useful information is lost when the skill score form is used in place of the original score.”

For more information on this research see: Interpreting the Skill Score Form of Forecast Performance Metrics. International Journal of Forecasting, 2019;35(2):573-579. International Journal of Forecasting can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands. (Elsevier - www.elsevier.com; International Journal of Forecasting - http://www.journals.elsevier.com/international-journal-of-forecasting/)

The news editors report that additional information may be obtained by contacting E. Wheatcroft, London School of Economics, Ctr Anal Time Series, London WC2A 2AE, United Kingdom.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.ijforecast.2018.11.010. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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