Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination (Q6144424): Difference between revisions

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scientific article; zbMATH DE number 7784494

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English	Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination	scientific article; zbMATH DE number 7784494

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instance of

scholarly article

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title

Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination (English)

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Electronic Journal of Statistics

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publication date

5 January 2024

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full work available at URL

https://arxiv.org/abs/2108.03210

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https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-17/issue-2/Regression-diagnostics-meets-forecast-evaluation-conditional-calibration-reliability-diagrams/10.1214/23-EJS2180.full

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Mathematics Subject Classification ID

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calibration test

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canonical loss

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consistent scoring function

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model diagnostics

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nonparametric isotonic regression

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prequential principle

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score decomposition

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skill score

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W3192681150

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cites work

An Empirical Distribution Function for Sampling with Incomplete Information

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Q5658961

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Inferences Under a Stochastic Ordering Constraint

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Q4003876

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Monotone percentile regression

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Predictive density and conditional confidence interval accuracy tests

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Predictive Model Assessment for Count Data

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Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach

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Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings

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Bias-corrected score decomposition for generalized quantiles

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Measurability of functionals and of ideal point forecasts

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Sensitivity measures based on scoring functions

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Higher order elicitability and Osband's principle

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Order-sensitivity and equivariance of scoring functions

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Machine Learning

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Making and Evaluating Point Forecasts

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Probabilistic Forecasts, Calibration and Sharpness

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Strictly Proper Scoring Rules, Prediction, and Estimation

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Combining predictive distributions

0 references

Nonparametric shape-restricted regression

0 references

A Score Regression Approach to Assess Calibration of Continuous Probabilistic Predictions

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Isotonic Distributional Regression

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Valid sequential inference on probability forecast performance

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The role of the information set for forecasting -- with applications to risk management

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Conditional Transformation Models

0 references

Robust Estimation of a Location Parameter

0 references

Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals

0 references

Regression Quantiles

0 references

Goodness of Fit and Related Inference Processes for Quantile Regression

0 references

Monotone least squares and isotonic quantiles

0 references

Elicitability and backtesting: perspectives for banking regulation

0 references

Algorithms in order restricted statistical inference and the Cauchy mean value property

0 references

Q4039968

0 references

On the distributional transform, Sklar's theorem, and the empirical copula process

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On regression representations of stochastic processes

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Elicitation of Personal Probabilities and Expectations

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Measure and probability

0 references

Inconsistency of bootstrap: the Grenander estimator

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Empirical Processes with Applications to Statistics

0 references

Krein condition in probabilistic moment problems

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Cross-calibration of probabilistic forecasts

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Point forecasting and forecast evaluation with generalized Huber loss

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Q3259374

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The asymptotic behavior of monotone percentile regression estimates

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Veridical data science

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Sitelinks

Mathematics(1 entry)

mardi Publication:6144424

@@ Property / OpenAlex ID @@
+W3192681150
@@ Property / OpenAlex ID: W3192681150 / rank @@
+Normal rank
@@ Property / cites work @@
+An Empirical Distribution Function for Sampling with Incomplete Information
+Normal rank
@@ Property / cites work @@
+Q5658961
@@ Property / cites work: Q5658961 / rank @@
+Normal rank
@@ Property / cites work @@
+Inferences Under a Stochastic Ordering Constraint
@@ Property / cites work: Inferences Under a Stochastic Ordering Constraint / rank @@
+Normal rank
@@ Property / cites work @@
+Q4003876
@@ Property / cites work: Q4003876 / rank @@
+Normal rank
@@ Property / cites work @@
+Monotone percentile regression
@@ Property / cites work: Monotone percentile regression / rank @@
+Normal rank
@@ Property / cites work @@
+Predictive density and conditional confidence interval accuracy tests
+Normal rank
@@ Property / cites work @@
+Predictive Model Assessment for Count Data
@@ Property / cites work: Predictive Model Assessment for Count Data / rank @@
+Normal rank
@@ Property / cites work @@
+Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
+Normal rank
@@ Property / cites work @@
+Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
+Normal rank
@@ Property / cites work @@
+Bias-corrected score decomposition for generalized quantiles
+Normal rank
@@ Property / cites work @@
+Measurability of functionals and of ideal point forecasts
+Normal rank
@@ Property / cites work @@
+Sensitivity measures based on scoring functions
@@ Property / cites work: Sensitivity measures based on scoring functions / rank @@
+Normal rank
@@ Property / cites work @@
+Higher order elicitability and Osband's principle
@@ Property / cites work: Higher order elicitability and Osband's principle / rank @@
+Normal rank
@@ Property / cites work @@
+Order-sensitivity and equivariance of scoring functions
+Normal rank
@@ Property / cites work @@
+Machine Learning
@@ Property / cites work: Machine Learning / rank @@
+Normal rank
@@ Property / cites work @@
+Making and Evaluating Point Forecasts
@@ Property / cites work: Making and Evaluating Point Forecasts / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic Forecasts, Calibration and Sharpness
+Normal rank
@@ Property / cites work @@
+Strictly Proper Scoring Rules, Prediction, and Estimation
+Normal rank
@@ Property / cites work @@
+Combining predictive distributions
@@ Property / cites work: Combining predictive distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric shape-restricted regression
@@ Property / cites work: Nonparametric shape-restricted regression / rank @@
+Normal rank
@@ Property / cites work @@
+A Score Regression Approach to Assess Calibration of Continuous Probabilistic Predictions
+Normal rank
@@ Property / cites work @@
+Isotonic Distributional Regression
@@ Property / cites work: Isotonic Distributional Regression / rank @@
+Normal rank
@@ Property / cites work @@
+Valid sequential inference on probability forecast performance
+Normal rank
@@ Property / cites work @@
+The role of the information set for forecasting -- with applications to risk management
+Normal rank
@@ Property / cites work @@
+Conditional Transformation Models
@@ Property / cites work: Conditional Transformation Models / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Estimation of a Location Parameter
@@ Property / cites work: Robust Estimation of a Location Parameter / rank @@
+Normal rank
@@ Property / cites work @@
+Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
+Normal rank
@@ Property / cites work @@
+Regression Quantiles
@@ Property / cites work: Regression Quantiles / rank @@
+Normal rank
@@ Property / cites work @@
+Goodness of Fit and Related Inference Processes for Quantile Regression
+Normal rank
@@ Property / cites work @@
+Monotone least squares and isotonic quantiles
@@ Property / cites work: Monotone least squares and isotonic quantiles / rank @@
+Normal rank
@@ Property / cites work @@
+Elicitability and backtesting: perspectives for banking regulation
+Normal rank
@@ Property / cites work @@
+Algorithms in order restricted statistical inference and the Cauchy mean value property
+Normal rank
@@ Property / cites work @@
+Q4039968
@@ Property / cites work: Q4039968 / rank @@
+Normal rank
@@ Property / cites work @@
+On the distributional transform, Sklar's theorem, and the empirical copula process
+Normal rank
@@ Property / cites work @@
+On regression representations of stochastic processes
+Normal rank
@@ Property / cites work @@
+Elicitation of Personal Probabilities and Expectations
+Normal rank
@@ Property / cites work @@
+Measure and probability
@@ Property / cites work: Measure and probability / rank @@
+Normal rank
@@ Property / cites work @@
+Inconsistency of bootstrap: the Grenander estimator
+Normal rank
@@ Property / cites work @@
+Empirical Processes with Applications to Statistics
+Normal rank
@@ Property / cites work @@
+Krein condition in probabilistic moment problems
@@ Property / cites work: Krein condition in probabilistic moment problems / rank @@
+Normal rank
@@ Property / cites work @@
+Cross-calibration of probabilistic forecasts
@@ Property / cites work: Cross-calibration of probabilistic forecasts / rank @@
+Normal rank
@@ Property / cites work @@
+Point forecasting and forecast evaluation with generalized Huber loss
+Normal rank
@@ Property / cites work @@
+Q3259374
@@ Property / cites work: Q3259374 / rank @@
+Normal rank
@@ Property / cites work @@
+The asymptotic behavior of monotone percentile regression estimates
+Normal rank
@@ Property / cites work @@
+Veridical data science
@@ Property / cites work: Veridical data science / rank @@
+Normal rank