We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...

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...