On a conjectured sharpness principle for probabilistic forecasting with calibration

Abstract

This note proves a weak type of the sharpness principle as conjectured by Gneiting, Balabdaoui, and Raftery in 2007 in connection with probabilistic forecasting subject to calibration constraints. A strong version of such a principle still awaits a proper formulation.

6 pages; accepted for publication in the Biometrika