Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
From MaRDI portal
(Redirected from Publication:5378146)
Choquet representationconsistent scoring functiondecision theoryeconomic utilityelicitableexpectileforecast rankingorder sensitivitypoint forecastprobability forecastquantile
Research exposition (monographs, survey articles) pertaining to statistics (62-02) General considerations in statistical decision theory (62C05) Statistical ranking and selection procedures (62F07) Point estimation (62F10) Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20) Decision theory (91B06)
Abstract: In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional, such as the mean or a quantile of the predictive distribution. When evaluating and comparing competing forecasts, it is then critical that the scoring function used for these purposes be consistent for the functional at hand, in the sense that the expected score is minimized when following the directive. We show that any scoring function that is consistent for a quantile or an expectile functional, respectively, can be represented as a mixture of extremal scoring functions that form a linearly parameterized family. Scoring functions for the mean value and probability forecasts of binary events constitute important examples. The quantile and expectile functionals along with the respective extremal scoring functions admit appealing economic interpretations in terms of thresholds in decision making. The Choquet type mixture representations give rise to simple checks of whether a forecast dominates another in the sense that it is preferable under any consistent scoring function. In empirical settings it suffices to compare the average scores for only a finite number of extremal elements. Plots of the average scores with respect to the extremal scoring functions, which we call Murphy diagrams, permit detailed comparisons of the relative merits of competing forecasts.
Recommendations
Cited in
(82)- Forecast dominance testing via sign randomization
- Forecaster's dilemma: extreme events and forecast evaluation
- Elicitability and identifiability of set-valued measures of systemic risk
- 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
- Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA)
- 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
- Encoded value-at-risk: a machine learning approach for portfolio risk measurement
- On automatic bias reduction for extreme expectile estimation
- A hierarchical Bayesian model for predicting ecological interactions using scaled evolutionary relationships
- Properization: constructing proper scoring rules via Bayes acts
- ExpectHill estimation, extreme risk and heavy tails
- A discrete density approach to Bayesian quantile and expectile regression with discrete responses
- Estimating value-at-risk and expected shortfall using the intraday low and range data
- Tail expectile process and risk assessment
- Backtesting VaR and expectiles with realized scores
- Why scoring functions cannot assess tail properties
- Order-sensitivity and equivariance of scoring functions
- The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data
- Higher order elicitability and Osband's principle
- Quantile evaluation, sensitivity to bracketing, and sharing business payoffs
- Simultaneous Semiparametric Estimation of Clustering and Regression
- Calibrating sufficiently
- Bias-corrected score decomposition for generalized quantiles
- Consistent scoring functions for quantiles
- An elastic-net penalized expectile regression with applications
- 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
- A joint quantile and expected shortfall regression framework
- Range-based risk measures and their applications
- Testing for auto-calibration with Lorenz and concentration curves
- Generic Conditions for Forecast Dominance
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- The local linear functional \(k\)NN estimator of the conditional expectile: uniform consistency in number of neighbors
- Comparing Possibly Misspecified Forecasts
- Density Regression with Conditional Support Points
- PDE-regularised spatial quantile regression
- Fifty years of decision analysis in operational research: a review
- Nonparametric estimation of conditional expectile-based risk measures
- From point to probabilistic gradient boosting for claim frequency and severity prediction
- An efficient hybrid approach of quantile and expectile regression
- Forecasting and backtesting gradient allocations of expected shortfall
- Comparison of predictors' performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams
- Neural Networks for Insurance Pricing with Frequency and Severity Data: A Benchmark Study from Data Preprocessing to Technical Tariff
- Robust elicitable functionals
- Bregman model averaging for forecast combination
- Jiang, Zhao and Shao's reply to the discussion of ``The first discussion meeting on statistical aspects of the COVID-19 pandemic
- Zhao's reply to the discussion of ``The first discussion meeting on statistical aspects of the COVID-19 pandemic
- Nason and Wei's reply to the discussion of ``The first discussion meeting on statistical aspects of the COVID-19 pandemic
- Wei Zhong, Chuang Wan and Changliang Zou's contribution to the ``First discussion meeting on statistical aspects of the COVID-19 pandemic
- Garib Nath Singh's contribution to the ``First discussion meeting on statistical aspects of the COVID-19 pandemic
- Jorge Mateu's second contribution to the ``First discussion meeting on statistical aspects of the COVID-19 pandemic
- Jorge Mateu's first contribution to the ``First discussion meeting on statistical aspects of the COVID-19 pandemic
- Shaoran Li, Oliver Linton and Shuyi Ge's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Kuldeep Kumar's second contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Kuldeep Kumar's first contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Kingsuk Jana, Lagnajita Basu and Kaushik Jana's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Shuyi Ge, Oliver Linton and Shaoran Li's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Alessio Farcomeni and Marco Geraci's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Peter J. Diggle's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Alex R. Cook, Kwok Pui Choi and Weng Kee Wong's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Anna L. Choi and Tze Leung Lai's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Christine P. Chai's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Xiaoping Shi, Yue Zhang and Yucheng Dong's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Tao Wang's contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Seconder of the vote of thanks and contribution to the `First discussion meeting on statistical aspects of the COVID-19 pandemic'
- Proposer of the vote of thanks and contribution to the discussion of `Statistical aspects of the COVID-19 pandemic'
- Small data, big time -- a retrospect of the first weeks of COVID-19
- Quantifying the economic response to COVID-19 mitigations and death rates via forecasting purchasing managers' indices using generalised network autoregressive models with exogenous variables
- Isotonic conditional laws
- T-calibration in semi-parametric models
- On the nonparametric estimation of the functional expectile regression
- Making and evaluating point forecasts
This page was built for publication: Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5378146)
