Abstract

Reliable forecasts of extreme but rare events, such as earthquakes, financial crashes, and epileptic seizures, would render interventions and precautions possible. Therefore, forecasting methods have been developed which intend to raise an alarm if an extreme event is about to occur. In order to statistically validate the performance of a prediction system, it must be compared to the performance of a random predictor, which raises alarms independent of the events. Such a random predictor can be obtained by bootstrapping or analytically. We propose an analytic statistical framework which, in contrast to conventional methods, allows for validating independently the sensitivity and specificity of a forecasting method. Moreover, our method accounts for the periods during which an event has to remain absent or occur after a respective forecast.

Original languageEnglish (US)
Article number022133
JournalPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
Volume90
Issue number2
DOIs
StatePublished - Aug 26 2014

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All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Condensed Matter Physics

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