Optimal prediction for quantiles and probabilities

DOI10.1007/S00362-024-01641-2MaRDI QIDQ7026534zbMATH OpenFDO

Authors Giovanni Fonseca, Federica Giummolè, Paolo Vidoni

Publication date 18 February 2025

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00362-024-01641-2

zbMATH Keywords

asymptoticscalibrationcontinuous ranked probability scoremean squared errorparametric bootstrappredictive distribution

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40)

Cites work

• A note on simultaneous calibrated prediction intervals for time series
• Adjusting estimative prediction limits
• Asymptotic minimum scoring rule prediction
• Calibrating Prediction Regions
• Calibrating predictive distributions
• Frequentist prediction intervals and predictive distributions
• scientific article; zbMATH DE number 735225 (Why is no real title available?)
• Improved prediction intervals and distribution functions
• Methods to compute prediction intervals: a review and new results
• On prediction intervals based on predictive likelihood or bootstrap methods
• Prediction and asymptotics
• Prediction and calibration in generalized linear models
• Probabilistic Forecasts, Calibration and Sharpness
• Strictly Proper Scoring Rules, Prediction, and Estimation

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