Order-sensitivity and equivariance of scoring functions
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Publication:2414489
DOI10.1214/19-EJS1552zbMath1420.62021arXiv1711.09628MaRDI QIDQ2414489
Johanna F. Ziegel, Tobias Fissler
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
decision theory; consistency; homogeneity; equivariance; translation invariance; M-estimation; elicitability; point forecasts; scoring functions; order-sensitivity
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B06: Decision theory
62F07: Statistical ranking and selection procedures
62C05: General considerations in statistical decision theory