News | March 05, 2026
Paper by Ramon de Punder, Cees Diks, Roger Laeven and Dick van Dijk has appeared in the Journal of the American Statistical Association
The paper ‘Localizing strictly proper scoring rules' by Ramon de Punder, Cees Diks, Roger Laeven (University of Amsterdam) and Dick van Dijk (Erasmus University Rotterdam) has appeared in the Journal of the American Statistical Association (January 2026).
Abstract
When comparing predictive distributions, forecasters are typically not equally interested in all regions of the outcome space. To address the demand for focused forecast evaluation, we propose a procedure to transform strictly proper scoring rules into their localized counterparts while preserving the score divergence and strict propriety. This is accomplished by applying the original scoring rule to a censored distribution. Our procedure nests the censored likelihood score as a special case. Among a multitude of others, it also implies a class of censored kernel scores that offers a (possibly multivariate) alternative to the threshold weighted Continuously Ranked Probability Score (twCRPS), extending its local propriety to more general weight functions than single tail indicators. Within this localized framework, we obtain a generalization of the Neyman Pearson lemma, establishing the censored likelihood ratio test as uniformly most powerful. For other tests of localized equal predictive performance, results of Monte Carlo simulations and empirical applications to risk management, inflation and climate data consistently emphasize the excellent power properties of censoring versus other localization methods.
The paper started as a Tinbergen Research Master's thesis and, to the best of our knowledge, marks the first project originating from the Research Master's program to appear in the JASA.
Learn more about the study and Ramon's work on the website of the Amsterdam School of Economics: Study by ASE researchers to be published in leading journal.
Article citation
de Punder, Ramon F. A., Cees G. H. Diks, Roger J. A. Laeven and Dick J. C. van Dijk (2026). Localizing strictly proper scoring rules, Journal of the American Statistical Association, 1-13. doi.org/10.1080/01621459.2025.2576189.