Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation
18 Pages Posted: 14 Apr 2015
Date Written: September 1, 2015
We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore 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.
Keywords: probability forecasts, serial correlation, Brier score, Brier skill score, survey of professional forecasters
JEL Classification: C010, C120, C250, C520, C530
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