Lessons learned in the challenge: making predictions and scoring them

Abstract. In this paper we present lessons learned in the Evaluating Predictive Uncertainty Challenge. We describe the methods we used in regression challenges, including our winning method for the Outaouais data set. We then turn our attention to the more general problem of scoring in probabilistic machine learning challenges. It is widely accepted that scoring rules should be proper in the sense that the true generative distribution has the best expected score; we note that while this is useful, it does not guarantee finding the best methods for practical machine learning tasks. We point out some problems in local scoring rules such as the negative logarithm of predictive density (NLPD), and illustrate with examples that many of these problems can be avoided by a distance-sensitive rule such as the continuous ranked probability score (CRPS).