Rejoinder: ``Elicitability and backtesting: perspectives for banking regulation

DOI10.1214/17-AOAS1041FMaRDI QIDQ1697368zbMATH OpenOpenAlexFDO

Authors Natalia Nolde, Johanna F. Ziegel

Publication date 19 February 2018

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aoas/1514430271

zbMATH Keywords

backtestingbanking regulation

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• Isotonic regression for elicitable functionals and their Bayes risk
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