A Generic Method for Density Forecasts Recalibration

We address the calibration constraint of probability forecasting. We propose a generic method for recalibration, which allows us to enforce this constraint. It remains to be known the impact on forecast quality, measured by predictive distributions sharpness, or specific scores. We show that the impact on the Continuous Ranked Probability Score (CRPS) is weak under some hypotheses and that it is positive under more restrictive ones. We used this method on temperature ensemble forecasts and compared the quality of the recalibrated forecasts with that of the raw ensemble and of a more specific method, that is Ensemble Model Output Statistics (EMOS). Better results are shown with our recalibration rather than with EMOS in this case study