Osband's Principle for Identification Functions

DOI10.1007/S00362-023-01428-XarXiv2208.07685OpenAlexW4353060006MaRDI QIDQ6407992FDOQ6407992

Authors: Timo Dimitriadis, Tobias Fissler, Johanna F. Ziegel 

Publication date: 16 August 2022

Abstract: Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical estimation and dynamic modelling. For a possibly vector-valued functional of interest, we fully characterise the class of (strict) identification functions subject to mild regularity conditions.

Full work available at URL: https://doi.org/10.1007/s00362-023-01428-x

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Mathematics Subject Classification ID

Point estimation (62F10) Diagnostics, and linear inference and regression (62J20) Complete class results in statistical decision theory (62C07)

Cited In (1)

• Estimation and backtesting of risk measures with emphasis on distortion risk measures

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