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The Science of Forecasting: Probabilistic Foundations, Statistical Methodology and Applications

Objective

The future being uncertain, forecasts ought to be probabilistic in nature, taking the form of probability distributions over future quantities or events. Accordingly, a transdisciplinary transition from point forecasts to probabilistic forecasts is well under way. The ScienceFore project seeks to provide guidance and leadership in this transition, by developing the theoretical foundations of the science of forecasting, as well as cutting-edge statistical methodology, along with applications in meteorology and economics.

Theoretically, we will focus on the study of aggregation methods for the combination of multiple probabilistic forecasts for the same quantity or event, and on the design and structure of performance measures that encourage truthful predictions, including but not limited to proper scoring rules. In applications, we will develop statistical postprocessing techniques for the THORPEX Interactive Grand Global Ensemble (TIGGE), which comprises the world's leading global numerical weather prediction models. The key challenge is to retain physically realistic and coherent joint dependence structures across meteorological variables, continents and oceans, and look-ahead times. Furthermore, we will investigate the use of statistical postprocessing techniques in macroeconomic surveys, and aim to resolve a long-standing puzzle in the evaluation of economic and financial forecasts.

Theory and applications will intertwine closely, to result in a project that constitutes much more than the sum of its parts. For example, the study of the properties of aggregation methods will inform the development of postprocessing methods for ensemble weather forecasts, and decision theoretically principled approaches to the design of performance measures call for a change of paradigms in the practice of the generation and evaluation of point forecasts, to be demonstrated in case studies.

Field of science

  • /social sciences/economics and business/economics

Call for proposal

ERC-2011-ADG_20110209
See other projects for this call

Funding Scheme

ERC-AG - ERC Advanced Grant

Host institution

HITS GGMBH
Address
Schloss Wolfsbrunnenweg 35
69118 Heidelberg
Germany
Activity type
Research Organisations
EU contribution
€ 1 401 103,38
Principal investigator
Tilmann Joachim Gneiting (Prof.)
Administrative Contact
Ingrid Kräling (Ms.)

Beneficiaries (2)

HITS GGMBH
Germany
EU contribution
€ 1 401 103,38
Address
Schloss Wolfsbrunnenweg 35
69118 Heidelberg
Activity type
Research Organisations
Principal investigator
Tilmann Joachim Gneiting (Prof.)
Administrative Contact
Ingrid Kräling (Ms.)
RUPRECHT-KARLS-UNIVERSITAET HEIDELBERG

Participation ended

Germany
EU contribution
€ 325 690,51
Address
Seminarstrasse 2
69117 Heidelberg
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Norbert Huber (Dr.)