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TEST

, Volume 23, Issue 4, pp 787–805 | Cite as

Calibration tests for count data

  • Wei WeiEmail author
  • Leonhard Held
Original Paper

Abstract

Calibration, the statistical consistency of forecast distributions and observations, is a central requirement for probabilistic predictions. Calibration of continuous forecasts has been widely discussed, and significance tests are commonly used to detect whether a prediction model is miscalibrated. However, calibration tests for discrete forecasts are rare, especially for distributions with unlimited support. In this paper, we propose two types of calibration tests for count data: tests based on conditional exceedance probabilities and tests based on proper scoring rules. For the latter, three scoring rules are considered: the ranked probability score, the logarithmic score and the Dawid-Sebastiani score. Simulation studies show that all the different tests have good control of the type I error rate and sufficient power under miscalibration. As an illustration, we apply the methodology to weekly data on meningoccocal disease incidence in Germany, 2001–2006. The results show that the test approach is powerful in detecting miscalibrated forecasts.

Keywords

Calibration test Count data Predictive distribution Proper scoring rules 

Mathematics Subject Classification (2000)

62M20 Prediction 

Notes

Acknowledgments

We thank two referees for helpful comments and suggestions. Financial support by the Swiss National Science Foundation (SNF) is gratefully acknowledged.

Supplementary material

11749_2014_380_MOESM1_ESM.pdf (97 kb)
Supplementary material 1 (pdf 97 KB)

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Copyright information

© Sociedad de Estadística e Investigación Operativa 2014

Authors and Affiliations

  1. 1.Division of Biostatistics, Institute of Social and Preventive MedicineUniversity of ZurichZurichSwitzerland

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