(This article was originally published at No Hesitations, and syndicated at StatsBlogs.)
You'd think that interval forecast evaluation would be easy. After all, point forecast evaluation is (more or less) well understood and easy, and density forecast evaluation is (more or less) well understood and easy, and interval forecasts seem somewhere in between, so by some sort of continuity argument you'd think that their evaluation would also be well understood and easy. But no. In fact it's quite difficult, maybe impossible...
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