Valid sequential inference on probability forecast performance
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Abstract (arXiv)
Probability forecasts for binary events play a central role in many applications. Their quality is commonly assessed with proper scoring rules, which assign forecasts a numerical score such that a correct forecast achieves a minimal expected score. In this paper, we construct e-values for testing the statistical significance of score differences of competing forecasts in sequential settings. E-values have been proposed as an alternative to p-values for hypothesis testing, and they can easily be transformed into conservative p-values by taking the multiplicative inverse. The e-values proposed in this article are valid in finite samples without any assumptions on the data generating processes. They also allow optional stopping, so a forecast user may decide to interrupt evaluation taking into account the available data at any time and still draw statistically valid inference, which is generally not true for classical p-value based tests. In a case study on postprocessing of precipitation forecasts, state-of-the-art forecasts dominance tests and e-values lead to the same conclusions.
Key facts. Cited by 7 papers in the map (data through 7 Oct 2026). First posted on arXiv 15 Mar 2021.
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Citing papers per year: 2021: 2; 2022: 1; 2023: 0; 2024: 1; 2025: 2; 2026: 1.
7 papers.
- 2025Proper scoring rules for estimation and forecast evaluationcited by 18
- 2022Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practicecited by 11
- 2021Comparing Sequential Forecasterscited by 8
- 2021Generic E-Variables for Exact Sequential k-Sample Tests that allow for Optional Stoppingcited by 2
- 2024Combining Evidence Across Filtrationscited by 2
- 2026Sequential Structure-Sensitive Residual Diagnostics for PDE Inverse Problemscited by 2
- 2025Assessing Extrapolation of Peaks Over Thresholds with Martingale Testingcited by 0
- 2026Sequential Structure-Sensitive Residual Diagnostics for PDE Inverse Problems2 Jul 2026
- 2025Assessing Extrapolation of Peaks Over Thresholds with Martingale Testing2 Dec 2025
- 2025Proper scoring rules for estimation and forecast evaluation2 Apr 2025
- 2024Combining Evidence Across Filtrations15 Feb 2024
- 2022Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice25 Feb 2022
- 2021Comparing Sequential Forecasters30 Sep 2021
- 2021Generic E-Variables for Exact Sequential k-Sample Tests that allow for Optional Stopping4 Jun 2021