A Beaufort Scale of Predictability

DOI10.1007/978-3-319-25826-3_19MaRDI QIDQ2956063zbMATH OpenOpenAlexFDO

Authors Mark H. A. Davis

Publication date 16 January 2017

Published in The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-25826-3_19

zbMATH Keywords

financial risk managementKnightian uncertaintyMandelbrot's states of randomnesspredictionprequential statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Elicitation of Personal Probabilities and Expectations
• Making and evaluating point forecasts
• On the asymptotic joint distribution of the sum and maximum of stationary normal random variables
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Stochastic finance. An introduction in discrete time.

Cited in

(1)

• Bayes risk, elicitability, and the Expected Shortfall

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