Isotonic regression for elicitable functionals and their Bayes risk
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Cites work
- scientific article; zbMATH DE number 3390139 (Why is no real title available?)
- Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
- Coherence and elicitability
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Elicitation complexity of statistical properties
- Higher order elicitability and Osband's principle
- Isotonic Distributional Regression
- Making and evaluating point forecasts
- Monotone least squares and isotonic quantiles
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- Order-sensitivity and equivariance of scoring functions
- Rejoinder: ``Elicitability and backtesting: perspectives for banking regulation
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