Elicitation complexity of statistical properties

DOI10.1093/biomet/asaa093OpenAlexW3094690774MaRDI QIDQ5022668

Rafael Frongillo, Ian A. Kash

Publication date: 19 January 2022

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.07212

zbMATH Keywords

loss functionrisk measurescoring ruleempirical risk minimizationelicitabilitypoint forecast

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

Isotonic regression for elicitable functionals and their Bayes risk ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Comparative evaluation of point process forecasts ⋮ Deep quantile and deep composite triplet regression ⋮ Sequential testing for elicitable functionals via supermartingales ⋮ On the elicitability of range value at risk ⋮ Why scoring functions cannot assess tail properties

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