DOI10.1111/rssb.12154zbMath1414.62038arXiv1503.08195OpenAlexW2963870508MaRDI QIDQ5378146
Alexander I. Jordan, Fabian Krüger, Tilmann Gneiting, Werner Ehm
Publication date: 12 June 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.08195
Forecast dominance testing via sign randomization,
Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals,
Point forecasting and forecast evaluation with generalized Huber loss,
Joint inference on extreme expectiles for multivariate heavy-tailed distributions,
Isotonic regression for elicitable functionals and their Bayes risk,
The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data,
Encoded value-at-risk: a machine learning approach for portfolio risk measurement,
On automatic bias reduction for extreme expectile estimation,
Simultaneous Semiparametric Estimation of Clustering and Regression,
Calibrating sufficiently,
A hierarchical Bayesian model for predicting ecological interactions using scaled evolutionary relationships,
Properization: constructing proper scoring rules via Bayes acts,
Scalable spatio‐temporal Bayesian analysis of high‐dimensional electroencephalography data,
Comparative evaluation of point process forecasts,
Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination,
Sensitivity measures based on scoring functions,
Using proxies to improve forecast evaluation,
Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs,
ExpectHill estimation, extreme risk and heavy tails,
A discrete density approach to Bayesian quantile and expectile regression with discrete responses,
A joint quantile and expected shortfall regression framework,
Estimating value-at-risk and expected shortfall using the intraday low and range data,
Elicitability and identifiability of set-valued measures of systemic risk,
Tail expectile process and risk assessment,
Forecaster's dilemma: extreme events and forecast evaluation,
Scoring interval forecasts: equal-tailed, shortest, and modal interval,
Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals,
The \(k\)th power expectile regression,
On the elicitability of range value at risk,
The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors,
Backtesting VaR and expectiles with realized scores,
On the nonparametric estimation of the functional expectile regression,
An elastic-net penalized expectile regression with applications,
Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA)
