Order-sensitivity and equivariance of scoring functions

DOI10.1214/19-EJS1552zbMath1420.62021arXiv1711.09628MaRDI QIDQ2414489

Johanna F. Ziegel, Tobias Fissler

Publication date: 17 May 2019

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

Full work available at URL: https://arxiv.org/abs/1711.09628

zbMATH Keywords

decision theory; consistency; homogeneity; equivariance; translation invariance; M-estimation; elicitability; point forecasts; scoring functions; order-sensitivity

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B06: Decision theory

62F07: Statistical ranking and selection procedures

62C05: General considerations in statistical decision theory