arXiv subjects

Eva-Maria Walz

Publications and source records attributed to Eva-Maria Walz.

6 recordsLinked to original sources

arXiv2025

Assessing Monotone Dependence: Area Under the Curve Meets Rank Correlation

The assessment of monotone dependence between random variables is a classical problem in statistics and a gamut of application domains. Consequently, researchers have sought measures of association that are invariant under strictly increasing transformations of the margins, with the extant literature being splintered. For continuous variables, symmetric rank correlation coefficients, such as Spearman's Rho and Kendall's Tau, have been studied at great length in the statistical literature. For dichotomous outcomes, the asymmetric area under the curve (AUC) measure is used to assess monotone dependence. We unify and complete thus far disconnected strands of literature, by establishing common population level theory, common estimators, and common tests that bridge continuous and dichotomous settings and apply to all linearly ordered outcomes. Originating in the biomedical literature, the C index provides a bridge between AUC, to which it reduces for a dichotomous outcome, and Kendall's Tau, to which it relates linearly under continuity. To establish the same kind of bridge between AUC and Spearman's Rho, we introduce asymmetric grade correlation, AGC$(X,Y)$, as the covariance of the mid distribution function transforms, or grades, of $X$ and $Y$, divided by the variance of the grade of $Y$. The coefficient of monotone association then is CMA$(X,Y) = \frac{1}{2} ($AGC$(X,Y) + 1)$. When $X$ and $Y$ are continuous, AGC is symmetric and equals Spearman's Rho. When $Y$ is dichotomous, CMA equals AUC. We establish central limit theorems for the sample versions of these measures, and we develop tests of DeLong type for their equality with a shared outcome $Y$. In case studies, we assess progress in data-driven weather prediction and evaluate methods of uncertainty quantification for large language models.

stat.ME↗

arXiv2025

Probabilistic measures afford fair comparisons of AIWP and NWP model output

We introduce a new measure for fair and meaningful comparisons of single-valued output from artificial intelligence based weather prediction (AIWP) and numerical weather prediction (NWP) models, called potential continuous ranked probability score (PC). In a nutshell, we subject the deterministic backbone of physics-based and data-driven models post hoc to the same statistical postprocessing technique, namely, isotonic distributional regression (IDR). Then we find PC as the mean continuous ranked probability score (CRPS) of the postprocessed probabilistic forecasts. The nonnegative PC measure quantifies potential predictive performance and is invariant under strictly increasing transformations of the model output. PC attains its most desirable value of zero if, and only if, the weather outcome Y is a fixed, non-decreasing function of the model output X. The PC measure is recorded in the unit of the outcome, has an upper bound of one half times the mean absolute difference between outcomes, and serves as a proxy for the mean CRPS of real-time, operational probabilistic products. When applied to WeatherBench 2 data, our approach demonstrates that the data-driven GraphCast model outperforms the leading, physics-based European Centre for Medium Range Weather Forecasts (ECMWF) high-resolution (HRES) model. Furthermore, the PC measure for the HRES model aligns exceptionally well with the mean CRPS of the operational ECMWF ensemble. Across application domains, our approach affords comparisons of single-valued forecasts in settings where the pre-specification of a loss function -- which is the usual, and principally superior, procedure in forecast contests, administrative, and benchmarks settings -- places competitors on unequal footings.

stat.AP↗

arXiv2024

Physics-based vs. data-driven 24-hour probabilistic forecasts of precipitation for northern tropical Africa

Numerical weather prediction (NWP) models struggle to skillfully predict tropical precipitation occurrence and amount, calling for alternative approaches. For instance, it has been shown that fairly simple, purely data-driven logistic regression models for 24-hour precipitation occurrence outperform both climatological and NWP forecasts for the West African summer monsoon. More complex neural network based approaches, however, remain underdeveloped due to the non-Gaussian character of precipitation. In this study, we develop, apply and evaluate a novel two-stage approach, where we train a U-Net convolutional neural network (CNN) model on gridded rainfall data to obtain a deterministic forecast and then apply the recently developed, nonparametric Easy Uncertainty Quantification (EasyUQ) approach to convert it into a probabilistic forecast. We evaluate CNN+EasyUQ for one-day ahead 24-hour accumulated precipitation forecasts over northern tropical Africa for 2011--2019, with the Integrated Multi-satellitE Retrievals for GPM (IMERG) data serving as ground truth. In the most comprehensive assessment to date we compare CNN+EasyUQ to state-of-the-art physics-based and data-driven approaches such as a monthly probabilistic climatology, raw and postprocessed ensemble forecasts from the European Centre for Medium-Range Weather Forecasts (ECMWF), and traditional statistical approaches that use up to 25 predictor variables from IMERG and the ERA5 reanalysis.Generally, statistical approaches perform about en par with post-processed ECMWF ensemble forecasts. The CNN+EasyUQ approach, however, clearly outperforms all competitors for both occurrence and amount. Hybrid methods that merge CNN+EasyUQ and physics-based forecasts show slight further improvement. Thus, the CNN+EasyUQ approach can likely improve operational probabilistic forecasts of rainfall in the tropics, and potentially even beyond.

physics.ao-ph↗

arXiv2023

Decompositions of the mean continuous ranked probability score

The continuous ranked probability score (crps) is the most commonly used scoring rule in the evaluation of probabilistic forecasts for real-valued outcomes. To assess and rank forecasting methods, researchers compute the mean crps over given sets of forecast situations, based on the respective predictive distributions and outcomes. We propose a new, isotonicity-based decomposition of the mean crps into interpretable components that quantify miscalibration (MSC), discrimination ability (DSC), and uncertainty (UNC), respectively. In a detailed theoretical analysis, we compare the new approach to empirical decompositions proposed earlier, generalize to population versions, analyse their properties and relationships, and relate to a hierarchy of notions of calibration. The isotonicity-based decomposition guarantees the nonnegativity of the components and quantifies calibration in a sense that is stronger than for other types of decompositions, subject to the nondegeneracy of empirical decompositions. We illustrate the usage of the isotonicity-based decomposition in case studies from weather prediction and machine learning.

stat.ME↗

arXiv2023

Easy Uncertainty Quantification (EasyUQ): Generating Predictive Distributions from Single-valued Model Output

How can we quantify uncertainty if our favorite computational tool - be it a numerical, a statistical, or a machine learning approach, or just any computer model - provides single-valued output only? In this article, we introduce the Easy Uncertainty Quantification (EasyUQ) technique, which transforms real-valued model output into calibrated statistical distributions, based solely on training data of model output-outcome pairs, without any need to access model input. In its basic form, EasyUQ is a special case of the recently introduced Isotonic Distributional Regression (IDR) technique that leverages the pool-adjacent-violators algorithm for nonparametric isotonic regression. EasyUQ yields discrete predictive distributions that are calibrated and optimal in finite samples, subject to stochastic monotonicity. The workflow is fully automated, without any need for tuning. The Smooth EasyUQ approach supplements IDR with kernel smoothing, to yield continuous predictive distributions that preserve key properties of the basic form, including both, stochastic monotonicity with respect to the original model output, and asymptotic consistency. For the selection of kernel parameters, we introduce multiple one-fit grid search, a computationally much less demanding approximation to leave-one-out cross-validation. We use simulation examples and forecast data from weather prediction to illustrate the techniques. In a study of benchmark problems from machine learning, we show how EasyUQ and Smooth EasyUQ can be integrated into the workflow of neural network learning and hyperparameter tuning, and find EasyUQ to be competitive with conformal prediction, as well as more elaborate input-based approaches.

stat.ME↗

arXiv2021

Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA)

Throughout science and technology, receiver operating characteristic (ROC) curves and associated area under the curve (AUC) measures constitute powerful tools for assessing the predictive abilities of features, markers and tests in binary classification problems. Despite its immense popularity, ROC analysis has been subject to a fundamental restriction, in that it applies to dichotomous (yes or no) outcomes only. Here we introduce ROC movies and universal ROC (UROC) curves that apply to just any linearly ordered outcome, along with an associated coefficient of predictive ability (CPA) measure. CPA equals the area under the UROC curve, and admits appealing interpretations in terms of probabilities and rank based covariances. For binary outcomes CPA equals AUC, and for pairwise distinct outcomes CPA relates linearly to Spearman's coefficient, in the same way that the C index relates linearly to Kendall's coefficient. ROC movies, UROC curves, and CPA nest and generalize the tools of classical ROC analysis, and are bound to supersede them in a wealth of applications. Their usage is illustrated in data examples from biomedicine and meteorology, where rank based measures yield new insights in the WeatherBench comparison of the predictive performance of convolutional neural networks and physical-numerical models for weather prediction.

stat.ML↗