Publications [#327677] of Robert L. Winkler

Papers Published

1. Grushka-Cockayne, Y; Lichtendahl, KC; Jose, VRR; Winkler, RL, Quantile evaluation, sensitivity to bracketing, and sharing business payoffs, Operations Research, vol. 65 no. 3 (May, 2017), pp. 712-728, Institute for Operations Research and the Management Sciences (INFORMS) [doi]
   (last updated on 2026/01/24)

   Abstract:
   From forecasting competitions to conditional value-at-risk requirements, the use of multiple quantile assessments is growing in practice. To evaluate them, we use a rule from the general class of proper scoring rules for a forecaster's multiple quantiles of a single uncertain quantity of interest. The general rule is additive in the component scores. Each component contains a function that measures its quantile's distance from the realization and weights its contribution to the overall score. To determine this function, we propose that the score of a group's combined quantile should be better than that of a randomly selected forecaster's quantile only when the forecasters bracket the realization (i.e., their quantiles do not fall on the same side of the realization). If a score satisfies this property, we say it is sensitive to bracketing. We characterize the class of proper scoring rules that is sensitive to bracketing when the decision maker uses a generalized average to combine forecasters' quantiles. Finally, we show how weights can be set to match the payoffs in many important business contexts.