# Point forecasting and forecast evaluation with generalized Huber loss

@article{Taggart2021PointFA, title={Point forecasting and forecast evaluation with generalized Huber loss}, author={Robert J. Taggart}, journal={Electronic Journal of Statistics}, year={2021} }

: Huber loss, its asymmetric variants and their associated func- tionals (here named Huber functionals ) are studied in the context of point forecasting and forecast evaluation. The Huber functional of a distribution is the set of minimizers of the expected (asymmetric) Huber loss, is an intermediary between a quantile and corresponding expectile, and also arises in M-estimation. Each Huber functional is elicitable, generating the precise set of minimizers of an expected score, subject to weak…

## 5 Citations

### Evaluation of point forecasts for extreme events using consistent scoring functions

- EconomicsQuarterly Journal of the Royal Meteorological Society
- 2021

We present a method for comparing point forecasts in a region of interest, such as the tails or centre of a variable's range. This method cannot be hedged, in contrast to selecting events…

### Regression Diagnostics meets Forecast Evaluation: Conditional Calibration, Reliability Diagrams, and Coefficient of Determination

- Mathematics
- 2021

Model diagnostics and forecast evaluation are two sides of the same coin. A common principle is that ﬁtted or predicted distributions ought to be calibrated or reliable, ideally in the sense of…

### A review of probabilistic forecasting and prediction with machine learning

- Computer ScienceArXiv
- 2022

The topic of predictive uncertainty estimation with machine learning algorithms, as well as the related metrics (consistent scoring functions and proper scoring rules) for assessing probabilistic predictions are reviewed, sparking understanding on how to develop new algorithms tailored to users’ needs.

### A scoring framework for tiered warnings and multicategorical forecasts based on fixed risk measures

- Environmental ScienceQuarterly Journal of the Royal Meteorological Society
- 2022

The use of tiered warnings and multicategorical forecasts are ubiquitous in meteorological operations. Here, a flexible family of scoring functions is presented for evaluating the performance of…

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