Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation

18 Pages Posted: 14 Apr 2015

See all articles by Kajal Lahiri

Kajal Lahiri

State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics

Liu Yang

Nanjing University - School of Business; State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics

Date Written: September 1, 2015

Abstract

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

Suggested Citation

Lahiri, Kajal and Yang, Liu, Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation (September 1, 2015). CESifo Working Paper Series No. 5290. Available at SSRN: https://ssrn.com/abstract=2593720

Kajal Lahiri

State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics ( email )

Department of Economics
1400 Washington Avenue
Albany, NY 12222
United States
518-442 4758 (Phone)
518-442 4736 (Fax)

HOME PAGE: http://www.albany.edu/~klahiri

Liu Yang (Contact Author)

Nanjing University - School of Business

22 Hankou Road
Nanjing, Jiangsu 210093 210093
China

State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics ( email )

1400 Washington Ave
Albany, NY 12222
United States
518-442-4735 (Phone)
518-442-4736 (Fax)

HOME PAGE: http://www.albany.edu/economics/

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