Asymptotic variance of Brier (skill) score in the presence of serial correlation

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 141
Issue: C
Pages: 125-129

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores 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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:141:y:2016:i:c:p:125-129
Journal Field
General
Author Count
2
Added to Database
2026-01-25