Higher order elicitability and Osband's principle

DOI10.1214/16-AOS1439zbMath1355.62006arXiv1503.08123OpenAlexW846844103MaRDI QIDQ309736

Publication date: 7 September 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08123

zbMATH Keywords

decision theory consistency propriety expected shortfall value at risk scoring rules elicitability forecaster Osband's principle point forecasts scoring functions spectral risk measures unique minimizer

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Minimax procedures in statistical decision theory (62C20) General considerations in statistical decision theory (62C05)

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