Focusing on regions of interest in forecast evaluation
DOI10.1214/17-AOAS1088zbMATH Open1383.62243OpenAlexW2776621238WikidataQ60430054 ScholiaQ60430054MaRDI QIDQ1697404FDOQ1697404
Authors: Hajo Holzmann, Bernhard Klar 
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/1514430291
Recommendations
financial time seriesrisk managementprobabilistic forecastpredictive performancelocally proper weighted scoring rulemisspecified forecastrare and extreme events
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cited In (13)
- Comparing density forecasts using threshold- and quantile-weighted scoring rules
- Comparative evaluation of point process forecasts
- Weighted Scoring Rules and Convex Risk Measures
- Evaluating Forecasts for High-Impact Events Using Transformed Kernel Scores
- Likelihood-based scoring rules for comparing density forecasts in tails
- Asymptotic distributions and performance of empirical skewness measures
- The role of the information set for forecasting -- with applications to risk management
- Asymptotic minimum scoring rule prediction
- Forecaster's dilemma: extreme events and forecast evaluation
- Why scoring functions cannot assess tail properties
- Properization: constructing proper scoring rules via Bayes acts
- Distributional transforms, probability distortions, and their applications
- Measurability of functionals and of ideal point forecasts
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