Focusing on regions of interest in forecast evaluation

DOI10.1214/17-AOAS1088zbMath1383.62243OpenAlexW2776621238WikidataQ60430054 ScholiaQ60430054MaRDI QIDQ1697404

Bernhard Klar, Hajo Holzmann

Publication date: 19 February 2018

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1514430291

zbMATH Keywords

predictive performancefinancial time seriesrisk managementprobabilistic forecastlocally proper weighted scoring rulemisspecified forecastrare and extreme events

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (9)

Weighted Scoring Rules and Convex Risk Measures ⋮ Asymptotic minimum scoring rule prediction ⋮ Asymptotic distributions and performance of empirical skewness measures ⋮ Properization: constructing proper scoring rules via Bayes acts ⋮ Evaluating Forecasts for High-Impact Events Using Transformed Kernel Scores ⋮ Comparative evaluation of point process forecasts ⋮ Why scoring functions cannot assess tail properties ⋮ Measurability of functionals and of ideal point forecasts ⋮ Distributional Transforms, Probability Distortions, and Their Applications

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