Sequentially valid tests for forecast calibration

DOI10.1214/22-aoas1697arXiv2109.11761OpenAlexW3204673088MaRDI QIDQ6179098

Alexander Henzi, Johanna F. Ziegel, Sebastian Arnold

Publication date: 16 January 2024

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

Full work available at URL: https://arxiv.org/abs/2109.11761

zbMATH Keywords

probabilistic calibrationsequential inferencerank histogramforecast calibratione-value

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

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• Combining predictive distributions
• Copula calibration
• Cross-calibration of probabilistic forecasts
• Test martingales, Bayes factors and \(p\)-values
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• Testing exchangeability: fork-convexity, supermartingales and e-processes
• Testing randomness online
• Sequential estimation of quantiles with applications to A/B testing and best-arm identification
• Present Position and Potential Developments: Some Personal Views: Statistical Theory: The Prequential Approach
• Hazard Rate Estimation under Random Censoring with Varying Kernels and Bandwidths
• Universal inference
• Valid sequential inference on probability forecast performance
• Combining p-values via averaging
• Probabilistic Forecasts, Calibration and Sharpness
• Sequential Tests of Statistical Hypotheses

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