Point forecasting and forecast evaluation with generalized Huber loss

DOI10.1214/21-EJS1957zbMath1493.62029arXiv2108.12426OpenAlexW3197050061MaRDI QIDQ2136606

Robert J. Taggart

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.12426

zbMATH Keywords

decision theoryquantileelicitabilityexpectileforecast rankingeconomic utilityHuber lossconsistent scoring functionrobust forecast verification

Mathematics Subject Classification ID

Decision theory (91B06) General considerations in statistical decision theory (62C05)

Related Items (1)

Regression diagnostics meets forecast evaluation: conditional calibration, reliability diagrams, and coefficient of determination

Cites Work

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