Uniform calibration tests for forecasting systems with small lead time

DOI10.1007/S11222-022-10144-9MaRDI QIDQ2103980zbMATH OpenOpenAlexFDO

Authors Jochen Bröcker

Publication date 9 December 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

forecastingcalibrationuniform central limit theorems

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(4)

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

Describes a project that uses

Uses Software

• CAViaR
• GitHub
• franz

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