The official guidelines for the M4 competition have now been published, and there have been several developments since my last post on this. There is now a prize for prediction interval accuracy using a scaled version of the Mean Interval Score. If the $100(1-\alpha)$% prediction interval for time $t$ is given by $[L{t},U{t}]$, for $t=1,\dots,h$, then the MIS is defined as $$\frac{1}{h}\sum_{t=1}^{h} \left[ (U_t-L_t) + \frac{2}{\alpha}(L_t-Y_t)1(Y_t < L_t) + \frac{2}{\alpha}(Y_t-U_t)1(Y_t > U_t) \right] $$ where $Y_t$ is the observation at time …