Order-sensitivity and equivariance of scoring functions

DOI10.1214/19-EJS1552zbMath1420.62021arXiv1711.09628OpenAlexW3102833010WikidataQ128093589 ScholiaQ128093589MaRDI QIDQ2414489

Tobias Fissler, Johanna F. Ziegel

Publication date: 17 May 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.09628

zbMATH Keywords

decision theoryconsistencyhomogeneityequivariancetranslation invarianceM-estimationelicitabilitypoint forecastsscoring functionsorder-sensitivity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Decision theory (91B06) Statistical ranking and selection procedures (62F07) General considerations in statistical decision theory (62C05)

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