Forecast dominance testing via sign randomization
From MaRDI portal
Publication:1627567
DOI10.1214/18-EJS1495zbMath1406.62102arXiv1707.03035OpenAlexW2963615467WikidataQ128855560 ScholiaQ128855560MaRDI QIDQ1627567
Publication date: 30 November 2018
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.03035
Inference from stochastic processes and prediction (62M20) Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Making and Evaluating Point Forecasts
- Testing for (in)finite moments
- Asymmetric Least Squares Estimation and Testing
- The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
- Higher order elicitability and Osband's principle
- Combining predictive distributions
- Exact and asymptotically robust permutation tests
- Approximating dependent rare events
- Strong approximation results for the empirical process of stationary sequences
- Necessary and sufficient conditions for Hölder continuity of Gaussian processes
- Cross-calibration of probabilistic forecasts
- Evaluating probability forecasts
- Volatility forecast comparison using imperfect volatility proxies
- Functional central limit theorems for triangular arrays of function-indexed processes under uniformly integrable entropy conditions
- Generalized autoregressive conditional heteroscedasticity
- Dependent central limit theorems and invariance principles
- Bootstrap and wild bootstrap for high dimensional linear models
- The role of the information set for forecasting -- with applications to risk management
- Admissible probability measurement procedures
- An improved bootstrap test of stochastic dominance
- Computer Age Statistical Inference
- The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
- On the Optimality of Conditional Expectation as a Bregman Predictor
- Martingale Transforms
- A Generalization of Anderson's Theorem on Unimodal Functions
- Asymptotic Statistics
- Choosing a Strictly Proper Scoring Rule
- On Testing the Validity of Sequential Probability Forecasts
- NONPARAMETRIC NONSTATIONARITY TESTS
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Tests of Conditional Predictive Ability
- ROBUST FORECAST COMPARISON
- Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
- Modeling and Forecasting Realized Volatility
- The integral of an invariant unimodal function over an invariant convex set—an inequality and applications
- Elicitation of Personal Probabilities and Expectations
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
This page was built for publication: Forecast dominance testing via sign randomization