System and method for performance evaluation of probability forecast
AssigneeFinancialSharp, Inc.
InventorsXiaoping Zhang, David Kedmey, Fang Wang
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Abstract
A method and system for probability distribution forecast evaluation are disclosed. The present disclosure is directed to embodiments of a system that evaluates probability distribution forecasts by acquiring one or more of a probability distribution forecast, a probability distribution realization, and a prior knowledge of the probability distribution forecast. The system disclosed herein may then compute an accuracy score and an information score based on the acquired forecast, realization, and prior knowledge. In evaluating the forecast, a performance score may also be computed based on the accuracy score and the information score.
Claims26
A probability distribution forecast evaluation system comprising
- at least one processor;
- at least one memory device that stores a plurality of instructions which, when executed by the at least one processor, cause the at least one processor to operate with the at least one memory device to:
- acquire one or more of a probability distribution forecast, a probability distribution realization corresponding to the probability distribution forecast, and a prior knowledge of the probability distribution forecast;
- compute an accuracy score based on the one or more of a probability distribution forecast, a probability distribution realization corresponding to the probability distribution forecast, and a prior knowledge of the probability distribution forecast;
- compute an information score based on the one or more of a probability distribution forecast, a probability distribution realization corresponding to the probability distribution forecast, and a prior knowledge of the probability distribution forecast;
- and
- compute a performance score based on the accuracy score and the information score.
A method for evaluating a probability distribution forecast comprising:
- acquiring one or more of a probability distribution forecast, a probability distribution realization corresponding to the probability distribution forecast, and a prior knowledge of the probability distribution forecast;
- computing an accuracy score based on the one or more of a probability distribution forecast, a probability distribution realization corresponding to the probability distribution forecast, and a prior knowledge of the probability distribution forecast;
- computing an information score based on the one or more of a probability distribution forecast, a probability distribution realization corresponding to the probability distribution forecast, and a prior knowledge of the probability distribution forecast;
- and
- computing a performance score based on the accuracy score and the information score.
Dependencies are inferred from the claim text.