Bias-corrected score decomposition for generalized quantiles

DOI10.1093/BIOMET/ASX004MaRDI QIDQ5384484zbMATH OpenOpenAlexFDO

Authors Werner Ehm, Evgeni Y. Ovcharov

Publication date 24 June 2019

Published in Biometrika (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/biomet/asx004

zbMATH Keywords

bias correctionconsistent scoring functionexpectilelocal score decompositionquantile

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Recommendations

• Evaluating quantile assessments
• Making and evaluating point forecasts
• Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Order-sensitivity and equivariance of scoring functions

Cited in

(3)

• Consistent scoring functions for quantiles
• Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination
• General jackknife empirical likelihood and its applications

This page was built for publication: Bias-corrected score decomposition for generalized quantiles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5384484)