Uniform calibration tests for forecasting systems with small lead time

DOI10.1007/s11222-022-10144-9zbMath1499.62012OpenAlexW4307821022MaRDI QIDQ2103980

Jochen Bröcker

Publication date: 9 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-022-10144-9

zbMATH Keywords

calibrationforecastinguniform central limit theorems

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Uses Software

• CAViaR
• GitHub
• franz

Cites Work

• Making and Evaluating Point Forecasts
• Higher order elicitability and Osband's principle
• Elicitability and backtesting: perspectives for banking regulation
• The Bierens test under data dependence
• A Consistent Conditional Moment Test of Functional Form
• Testing the reliability of forecasting systems
• Evaluating Value-at-Risk Models via Quantile Regression
• On certain limit theorems of the theory of probability

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