文章基本信息

标题：Empirical prediction intervals improve energy forecasting
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作者：Lynn H. Kaack ; Jay Apt ; M. Granger Morgan 等
期刊名称：Proceedings of the National Academy of Sciences
印刷版ISSN：0027-8424
电子版ISSN：1091-6490
出版年度：2017
卷号：114
期号：33
页码：8752-8757
DOI：10.1073/pnas.1619938114
语种：English
出版社：The National Academy of Sciences of the United States of America
摘要：Hundreds of organizations and analysts use energy projections, such as those contained in the US Energy Information Administration (EIA)’s Annual Energy Outlook (AEO), for investment and policy decisions. Retrospective analyses of past AEO projections have shown that observed values can differ from the projection by several hundred percent, and thus a thorough treatment of uncertainty is essential. We evaluate the out-of-sample forecasting performance of several empirical density forecasting methods, using the continuous ranked probability score (CRPS). The analysis confirms that a Gaussian density, estimated on past forecasting errors, gives comparatively accurate uncertainty estimates over a variety of energy quantities in the AEO, in particular outperforming scenario projections provided in the AEO. We report probabilistic uncertainties for 18 core quantities of the AEO 2016 projections. Our work frames how to produce, evaluate, and rank probabilistic forecasts in this setting. We propose a log transformation of forecast errors for price projections and a modified nonparametric empirical density forecasting method. Our findings give guidance on how to evaluate and communicate uncertainty in future energy outlooks.
关键词：forecast uncertainty ; density forecasts ; scenarios ; continuous ranked probability score ; fan chart