Model selection with proper scoring rules on data sets of time series
arXiv:2606.24715v1 Announce Type: new Abstract: We consider the problem of model selection between probabilistic models on data sets of time series. Chosen a proper scoring rule, we denote by the term textit{score} the average value of the scoring rule on the test of an individual time series. For model selection, we need aggregating the values of the scores across multiple time series. Three summary statistics are commonly used for model selection: mean score, median score, and mean rank. […]