Elicitation complexity of statistical properties

DOI10.1093/BIOMET/ASAA093MaRDI QIDQ5022668zbMATH OpenOpenAlexFDO

Authors Rafael Frongillo, Ian A. Kash

Publication date 19 January 2022

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.07212

zbMATH Keywords

elicitabilityempirical risk minimizationloss functionpoint forecastrisk measurescoring rule

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(13)

• On the elicitability of range value at risk
• Isotonic regression for elicitable functionals and their Bayes risk
• Why scoring functions cannot assess tail properties
• Deep quantile and deep composite triplet regression
• scientific article; zbMATH DE number 6474904 (Why is no real title available?)
• Three and One Questions to Dr. B. Mirkin About Complexity Statistics
• Bayes risk, elicitability, and the Expected Shortfall
• Comparative evaluation of point process forecasts
• Sequential testing for elicitable functionals via supermartingales
• Elicitation Complexity of Statistical Properties
• Estimation of the adjusted standard-deviatile for extreme risks
• Risk-adaptive approaches to stochastic optimization: a survey
• Elicitability and identifiability of tail risk measures

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