Uniform calibration tests for forecasting systems with small lead time

DOI10.1007/S11222-022-10144-9zbMATH Open1499.62012OpenAlexW4307821022MaRDI QIDQ2103980FDOQ2103980

Authors: Jochen Bröcker 

Publication date: 9 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-022-10144-9

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zbMATH Keywords

forecastingcalibrationuniform central limit theorems

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Elicitability and backtesting: perspectives for banking regulation
• Higher order elicitability and Osband's principle
• Evaluating value-at-risk models via quantile regression
• Making and evaluating point forecasts
• A Consistent Conditional Moment Test of Functional Form
• The Bierens test under data dependence
• On certain limit theorems of the theory of probability
• Testing the reliability of forecasting systems

Cited In (4)

• Calibration tests for multivariate Gaussian forecasts
• A new goodness-of-fit test for event forecasting and its application to credit defaults
• On Testing the Validity of Sequential Probability Forecasts
• A score regression approach to assess calibration of continuous probabilistic predictions

Uses Software

• CAViaR
• GitHub
• franz

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