Laboratoire de Mathématiques de Besançon (UMR 6623) (LMB), Université de Bourgogne (UB)-Centre National de la Recherche Scientifique (CNRS)-Université de Franche-Comté (UFC), Université Bourgogne Franche-Comté [COMUE] (UBFC)-Université Bourgogne Franche-Comté [COMUE] (UBFC), Laboratoire des Sciences du Climat et de l'Environnement [Gif-sur-Yvette] (LSCE), Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS), Centre national de recherches météorologiques (CNRM), Institut national des sciences de l'Univers (INSU - CNRS)-Observatoire Midi-Pyrénées (OMP), Institut de Recherche pour le Développement (IRD)-Institut national des sciences de l'Univers (INSU - CNRS)-Centre National d'Études Spatiales [Toulouse] (CNES)-Centre National de la Recherche Scientifique (CNRS)-Université Fédérale Toulouse Midi-Pyrénées-Météo-France -Institut de Recherche pour le Développement (IRD)-Institut national des sciences de l'Univers (INSU - CNRS)-Centre National d'Études Spatiales [Toulouse] (CNES)-Centre National de la Recherche Scientifique (CNRS)-Université Fédérale Toulouse Midi-Pyrénées-Météo-France -Centre National de la Recherche Scientifique (CNRS)
The theoretical advances on the properties of scoring rules over the past decades have broaden the use of scoring rules in probabilistic forecasting. In meteorological forecasting, statistical postprocessing techniques are essential to improve the forecasts made by deterministic physical models. Numerous state-of-the-art statistical postprocessing techniques are based on distributional regression evaluated with the Continuous Ranked Probability Score (CRPS). However, theoretical properties of such minimization of the CRPS have mostly considered the unconditional framework (i.e. without covariables) and infinite sample sizes. We circumvent these limitations and study the rate of convergence in terms of CRPS of distributional regression methods. We find the optimal minimax rate of convergence for a given class of distributions. Moreover, we show that the nearest neighbor method and the kernel method for distributional regression reach the optimal rate of convergence in dimension larger than 2 and in any dimension, respectively.Associated article: https://doi.org/10.1016/j.ijforecast.2022.11Test.
