Isotonic regression for elicitable functionals and their Bayes risk

DOI10.1214/22-EJS2034MaRDI QIDQ2161182

Anja Mühlemann, Johanna F. Ziegel

Publication date: 4 August 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/Isotonic-regression-for-elicitable-functionals-and-their-Bayes-risk/10.1214/22-EJS2034.full

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals
• Monotone least squares and isotonic quantiles
• Order-sensitivity and equivariance of scoring functions
• COHERENCE AND ELICITABILITY
• Elicitation complexity of statistical properties
• Isotonic Distributional Regression
• Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings

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