Probabilistic forecasting by Gneiting and Katzfuss (2014)


14 March 2014


The IJF is introducing occasional review papers on areas of forecasting. We did a whole issue in 2006 reviewing 25 years of research since the International Institute of Forecasters was established. Since then, there has been a lot of new work in application areas such as call center forecasting and electricity price forecasting. In addition, there are areas we did not cover in 2006 including new product forecasting and forecasting in finance. There have also been methodological and theoretical developments over the last eight years. Consequently, I’ve started inviting eminent researchers to write survey papers for the journal.

One obvious choice was Tilmann Gneiting, who has produced a large body of excellent work on probabilistic forecasting in the last few years. The theory of forecasting was badly in need of development, and Tilmann and his coauthors have made several great contributions in this area. However, when I asked him to write a review he explained that another journal had got in before me, and that the review was already written. It appeared in the very first volume of the new journal Annual Review of Statistics and its Application: Gneiting and Katzfuss (2014) Probabilistic Forecasting, pp.125-151.

Having now read it, I’m both grateful for this more accessible introduction to the area, and disappointed that it didn’t end up in the International Journal of Forecasting. I forecast that it will be highly cited (although I won’t calculate a forecast distribution or compute a scoring function for that).

Also, good luck to the new journal; it looks like it will be very useful, and is sure to have a high impact factor given it publishes review articles.