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Decomposition of the Continuous Ranked Probability Score for Ensemble Prediction Systems

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  • 1 Koninklijk Nederlands Meteorologisch Instituut, De Bilt, Netherlands
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Abstract

Some time ago, the continuous ranked probability score (CRPS) was proposed as a new verification tool for (probabilistic) forecast systems. Its focus is on the entire permissible range of a certain (weather) parameter. The CRPS can be seen as a ranked probability score with an infinite number of classes, each of zero width. Alternatively, it can be interpreted as the integral of the Brier score over all possible threshold values for the parameter under consideration. For a deterministic forecast system the CRPS reduces to the mean absolute error.

In this paper it is shown that for an ensemble prediction system the CRPS can be decomposed into a reliability part and a resolution/uncertainty part, in a way that is similar to the decomposition of the Brier score. The reliability part of the CRPS is closely connected to the rank histogram of the ensemble, while the resolution/uncertainty part can be related to the average spread within the ensemble and the behavior of its outliers. The usefulness of such a decomposition is illustrated for the ensemble prediction system running at the European Centre for Medium-Range Weather Forecasts. The evaluation of the CRPS and its decomposition proposed in this paper can be extended to systems issuing continuous probability forecasts, by realizing that these can be interpreted as the limit of ensemble forecasts with an infinite number of members.

Corresponding author address: Dr. Hans Hersbach, KNMI, P.O. Box 201, 3730 AE Utrecht, Netherlands.

Email: hersbach@knmi.nl

Abstract

Some time ago, the continuous ranked probability score (CRPS) was proposed as a new verification tool for (probabilistic) forecast systems. Its focus is on the entire permissible range of a certain (weather) parameter. The CRPS can be seen as a ranked probability score with an infinite number of classes, each of zero width. Alternatively, it can be interpreted as the integral of the Brier score over all possible threshold values for the parameter under consideration. For a deterministic forecast system the CRPS reduces to the mean absolute error.

In this paper it is shown that for an ensemble prediction system the CRPS can be decomposed into a reliability part and a resolution/uncertainty part, in a way that is similar to the decomposition of the Brier score. The reliability part of the CRPS is closely connected to the rank histogram of the ensemble, while the resolution/uncertainty part can be related to the average spread within the ensemble and the behavior of its outliers. The usefulness of such a decomposition is illustrated for the ensemble prediction system running at the European Centre for Medium-Range Weather Forecasts. The evaluation of the CRPS and its decomposition proposed in this paper can be extended to systems issuing continuous probability forecasts, by realizing that these can be interpreted as the limit of ensemble forecasts with an infinite number of members.

Corresponding author address: Dr. Hans Hersbach, KNMI, P.O. Box 201, 3730 AE Utrecht, Netherlands.

Email: hersbach@knmi.nl

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