On the Relationship between the Accuracy and Value of Forecasts in the Cost–Loss Ratio Situation
On the Relationship between the Accuracy and Value of Forecasts in the Cost–Loss Ratio Situation
复制标题
成本损失率情况下预测准确性与价值的关系
DOI：
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发表时间：
1987
期刊：
影响因子：
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通讯作者：
M. Ehrendorfer
中科院分区：
文献类型：
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作者：
A. H. Murphy;M. Ehrendorfer
摘要本文探讨了不完美预测的质量和价值之间的关系。假设这些预测是由一个原始的概率预测系统产生的，所关心的决策问题是成本损失比的情况。在这种情况下，两个参数描述的基本特征的预测必须指定，以确定预测质量唯一。因此，准确性的标量度量（如Brier分数）无法完全和明确地描述不完美预测的质量。预测精度和预测值之间的关系由多值函数-精度/值包络表示。这个包络线的存在意味着Brier分数是一个不精确的价值度量，预测值甚至可以随着预测准确性的增加而减少（反之亦然）。这些结果的一般性及其对验证程序和实践的影响进行了讨论。
Abstract This paper explores the relationship between the quality and value of imperfect forecasts. It is assumed that these forecasts are produced by a primitive probabilistic forecasting system and that the decision-making problem of concern is the cost-loss ratio situation. In this context, two parameters describing basic characteristics of the forecasts must be specified in order to determine forecast quality uniquely. As a result, a scalar measure of accuracy such as the Brier score cannot completely and unambiguously describe the quality of the imperfect forecasts. The relationship between forecast accuracy and forecast value is represented by a multivalued function—an accuracy/value envelope. Existence of this envelope implies that the Brier score is an imprecise measure of value and that forecast value can even decrease as forecast accuracy increases (and vice versa). The generality of these results and their implications for verification procedures and practices are discussed.