DOI10.1111/rssb.12154zbMath1414.62038arXiv1503.08195OpenAlexW2963870508MaRDI QIDQ5378146
Alexander I. Jordan, Fabian Krüger, Tilmann Gneiting, Werner Ehm
Publication date: 12 June 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1503.08195
Forecast dominance testing via sign randomization ⋮
Characterizing the optimal solutions to the isotonic regression problem for identifiable functionals ⋮
Point forecasting and forecast evaluation with generalized Huber loss ⋮
Joint inference on extreme expectiles for multivariate heavy-tailed distributions ⋮
Isotonic regression for elicitable functionals and their Bayes risk ⋮
The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data ⋮
Encoded value-at-risk: a machine learning approach for portfolio risk measurement ⋮
On automatic bias reduction for extreme expectile estimation ⋮
Simultaneous Semiparametric Estimation of Clustering and Regression ⋮
Calibrating sufficiently ⋮
A hierarchical Bayesian model for predicting ecological interactions using scaled evolutionary relationships ⋮
Properization: constructing proper scoring rules via Bayes acts ⋮
Scalable spatio‐temporal Bayesian analysis of high‐dimensional electroencephalography data ⋮
Comparative evaluation of point process forecasts ⋮
Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination ⋮
Sensitivity measures based on scoring functions ⋮
Using proxies to improve forecast evaluation ⋮
Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs ⋮
ExpectHill estimation, extreme risk and heavy tails ⋮
A discrete density approach to Bayesian quantile and expectile regression with discrete responses ⋮
A joint quantile and expected shortfall regression framework ⋮
Estimating value-at-risk and expected shortfall using the intraday low and range data ⋮
Elicitability and identifiability of set-valued measures of systemic risk ⋮
Tail expectile process and risk assessment ⋮
Forecaster's dilemma: extreme events and forecast evaluation ⋮
Scoring interval forecasts: equal-tailed, shortest, and modal interval ⋮
Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals ⋮
The \(k\)th power expectile regression ⋮
On the elicitability of range value at risk ⋮
The functional \(k\mathrm{NN}\) estimator of the conditional expectile: uniform consistency in number of neighbors ⋮
Backtesting VaR and expectiles with realized scores ⋮
On the nonparametric estimation of the functional expectile regression ⋮
An elastic-net penalized expectile regression with applications ⋮
Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA)
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