Scoring predictions at extreme quantiles

DOI10.1007/S10182-021-00421-9OpenAlexW4213002345MaRDI QIDQ2106823FDOQ2106823

Authors: Axel Gandy, K. Jana, Almut E. D. Veraart 

Publication date: 19 December 2022

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.04763

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zbMATH Keywords

extreme valuehigh quantilequantile score

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• An introduction to statistical modeling of extreme values
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Making and evaluating point forecasts
• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quantile regression for longitudinal data
• Estimation of high conditional quantiles for heavy-tailed distributions
• Composite quantile regression and the oracle model selection theory
• How to make a Hill plot.
• On optimising the estimation of high quantiles of a probability distribution
• A note on L-estimates for linear models
• Forecaster's dilemma: extreme events and forecast evaluation
• Probabilistic wind speed forecasting on a grid based on ensemble model output statistics
• Improving precipitation forecasts using extreme quantile regression
• Why scoring functions cannot assess tail properties

Cited In (2)

• Temporal evolution of the extreme excursions of multivariate \(k\)th order Markov processes with application to oceanographic data
• Consistent scoring functions for quantiles

Uses Software

• ismev

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