How to validate point process predictions or can tests for calibration be proper?

Publication details

  • Event: (Reading)
  • Year: 2019

In this talk we consider probabilistic forecasts of point processes and discuss how they can be validated obeying decision-theoretic principles.
In practice, such forecasts are often assessed by testing whether observed point patterns could be random draws of the predictive model.
We ask the question whether such a test can be proper, meaning that the expected outcome is best when the forecaster predicts the true distribution.