Generic Conditions for Forecast Dominance
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Cites work
- A SIMPLE TEST OF NORMALITY FOR TIME SERIES
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymmetric Least Squares Estimation and Testing
- Automatic Lag Selection in Covariance Matrix Estimation
- Combining probability forecasts
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- Cross-calibration of probabilistic forecasts
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Elicitability and backtesting: perspectives for banking regulation
- Elicitation of Personal Probabilities and Expectations
- Forecast dominance testing via sign randomization
- scientific article; zbMATH DE number 1220667 (Why is no real title available?)
- Increasing risk: Some direct constructions
- Making and evaluating point forecasts
- Modeling and Forecasting Realized Volatility
- Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
- On the optimal stopping values induced by general dependence structures
- Stochastic orders
- The Existence of Probability Measures with Given Marginals
- The role of the information set for forecasting -- with applications to risk management
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(10)- Testing for auto-calibration with Lorenz and concentration curves
- Learning to Forecast: The Probabilistic Time Series Forecasting Challenge
- Convex and Lorenz orders under balance correction in nonlife insurance pricing: review and new developments
- Prediction intervals for economic fixed-event forecasts
- Calibration methods in imbalanced binary classification
- Comparison of predictors' performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams
- Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
- Auto-calibration tests for discrete finite regression functions
- Another look at the zero integral difference between Lorenz and concentration curves in supervised learning
- Tweedie dominance for autocalibrated predictors and Laplace transform order
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