Focusing on regions of interest in forecast evaluation

DOI10.1214/17-AOAS1088MaRDI QIDQ1697404zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

financial time seriesrisk managementprobabilistic forecastpredictive performancelocally proper weighted scoring rulemisspecified forecastrare and extreme events

Mathematics Subject Classification ID

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)

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Cited in

(13)

• The role of the information set for forecasting -- with applications to risk management
• Forecaster's dilemma: extreme events and forecast evaluation
• Asymptotic minimum scoring rule prediction
• Asymptotic distributions and performance of empirical skewness measures
• Measurability of functionals and of ideal point forecasts
• Comparing density forecasts using threshold- and quantile-weighted scoring rules
• Distributional transforms, probability distortions, and their applications
• Likelihood-based scoring rules for comparing density forecasts in tails
• Evaluating Forecasts for High-Impact Events Using Transformed Kernel Scores
• Why scoring functions cannot assess tail properties
• Comparative evaluation of point process forecasts
• Weighted Scoring Rules and Convex Risk Measures
• Properization: constructing proper scoring rules via Bayes acts

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