Forecasting Summer School

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The IIF Summer School is a two-day course which provides in-depth analysis of a cutting edge topic in forecasting from one of the ISF invited speakers. Next year’s program will take place from 15-16 June 2019 at the Makedonia Palace Hotel, Thessaloniki, Greece.

The Summer School will be sharing the same venue as ISF 2019, which takes place 16-19 June. For more details, visit the ISF 2019 website.

Probabilistic Forecasting

Tilmann Gneiting, Group Leader and Professor of Computational Statistics, Heidelberg Institute for Theoretical Studies and Karlsruhe Institute of Technology

As the future is inherently uncertain, forecasts ought to be probabilistic, i.e., they ought to take the form of probability distributions over future quantities or events. The goal in probabilistic forecasting is to maximize the sharpness of the predictive distributions subject to calibration, based on the information at hand. Proper scoring rules such as the logarithmic score and the continuous ranked probability score serve to assess calibration and sharpness simultaneously. As a special case, consistent scoring functions provide decision-theoretically justifiable tools for evaluating point forecasts. Throughout, concepts and methodologies will be illustrated in data examples and case studies.

Space is limited, so we encourage you to apply early. Attendance on both days is required. Preference will be given for attendees of the ISF. When applying we ask for your CV so we can check if you meet the pre-requisite set by the summer school lecturer. We expect you to have knowledge of statistics and probability, including statistical computing (exercises in R), with evidence of previous studies at advanced undergraduate and/or postgraduate level. All participants must have a laptop and R software uploaded and functional.

Application Deadlines 

  1. 11 February 2019 Grants to attend the Summer School are offered in conjunction with the ISF Travel Award program. When submitting your application, indicate whether you would like to attend the summer school.
  2. 8 April 2019 Send your curriculum vitae to [email protected] for review and consideration. You will be notified by 11 April 2019. You have until 19 April 2019 to confirm your attendance. No refund/cancellation will be accepted after that date. *

Registration Fees
ISF attendees, $195
Non-attendees, $390

* In case of summer school cancellation, the IIF liability will be limited to a refund of the registration fee only.

Instructor and Schedule

About the Instructor

Tilmann Gneiting is Group Leader and Professor of Computational Statistics, Heidelberg Institute for Theoretical Studies and Karlsruhe Institute of Technology

Program Schedule

Saturday & Sunday
9:00–5:00pm

Lecture 1: Introduction to probabilistic forecasting
Lecture 2: Case studies
Lecture 3: Calibration and sharpness
Lecture 4: Evaluating probabilistic forecasts: Proper scoring rules
Lecture 5: Evaluating point forecasts: Consistent scoring functions
Lecture 6: Regression: A predictive perspective
Lecture 7: Combining predictive distributions
Lab sessions will occur in between lectures and will be announced closer to the event.