Research on generating and verification of multivariate probabilistic forecasts has gained increased interest over the last few years. Emphasis is placed here on the evaluation of forecast quality with the Energy score, which is based on a quadratic scoring rule. While this score may be seen as appealing since being proper, we show that its discrimination ability may be limited when focusing on the dependence structure of multivariate probabilistic forecasts. For the case of multivariate Gaussian process, a theoretical upper for such discrimination ability is derived and discussed. This limited discrimination ability may eventually get compromised by computational and sampling issues, as dimension increases.
Probabilistic forecasting; Energy score; Discrimination; Proper score; Multivariate scenarios