calibration, density forecast, predictive distribution, probability integral transform

Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness

In a recent article Gneiting, Balabdaoui and Raftery (JRSSB, 2007) propose the criterion of sharpness for the evaluation of predictive distributions or density forecasts. They motivate their proposal by an example in which standard evaluation procedures based on probability integral transforms cannot distinguish between the ideal forecast and several competing forecasts.