Evaluating probability forecasts
From MaRDI portal
Publication:661161
DOI10.1214/11-AOS902zbMath1235.62127arXiv1202.5140MaRDI QIDQ661161
Tze Leung Lai, Shulamith T. Gross, David Bo Shen
Publication date: 21 February 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.5140
Inference from stochastic processes and prediction (62M20) Applications of statistics (62P99) Prediction theory (aspects of stochastic processes) (60G25)
Related Items
Forecast dominance testing via sign randomization ⋮ Evaluating Real-Time Probabilistic Forecasts With Application to National Basketball Association Outcome Prediction ⋮ On the Measurement of Economic Tail Risk ⋮ On individual risk ⋮ Verification of internal risk measure estimates
Cites Work
- Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
- A general method for comparing probability assessors
- Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
- Two further applications of a model for binary regression
- The Well-Calibrated Bayesian
- Probability with Martingales
- On Testing the Validity of Sequential Probability Forecasts
- Evaluating Probabilities: Asymmetric Scoring Rules
- Asymptotic Inference about Predictive Ability
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Tests of Conditional Predictive Ability
- Probabilistic Forecasts, Calibration and Sharpness
- Jackknifing $U$-Statistics
- Unnamed Item
