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Making and Evaluating Point Forecasts

4 December 2009

Papers citing "Making and Evaluating Point Forecasts"

50 / 127 papers shown

Title
A two-step machine learning approach to statistical post-processing of weather forecasts for power generation Ágnes Baran Sándor Baran 28 6 0 15 Jul 2022
An Embedding Framework for the Design and Analysis of Consistent Polyhedral Surrogates Jessie Finocchiaro Rafael Frongillo Bo Waggoner 103 14 0 29 Jun 2022
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning Anthony Coache S. Jaimungal Á. Cartea 135 13 0 29 Jun 2022
A review of machine learning concepts and methods for addressing challenges in probabilistic hydrological post-processing and forecasting Georgia Papacharalampous Hristos Tyralis AI4CE 84 28 0 17 Jun 2022
Anytime-valid sequential testing for elicitable functionals via supermartingales P. Casgrain Martin Larsson J. Ziegel 68 9 0 12 Apr 2022
Forecasting with Economic News Luca Barbaglia Sergio Consoli S. Manzan 29 68 0 29 Mar 2022
Flexible risk design using bi-directional dispersion Matthew J. Holland 97 6 0 28 Mar 2022
Measurability of functionals and of ideal point forecasts Tobias Fissler H. Holzmann 27 4 0 16 Mar 2022
High-Resolution Peak Demand Estimation Using Generalized Additive Models and Deep Neural Networks Jonathan Berrisch Michał Narajewski F. Ziel 51 8 0 07 Mar 2022
Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice Tobias Fissler Christian Lorentzen Michael Mayer 46 8 0 25 Feb 2022
Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective Weichen Wang Ran An Ziwei Zhu 50 2 0 04 Oct 2021
Comparing Sequential Forecasters Yo Joong Choe Aaditya Ramdas AI4TS 143 12 0 30 Sep 2021
Is the mode elicitable relative to unimodal distributions? Claudio Heinrich‐Mertsching Tobias Fissler 44 4 0 01 Sep 2021
Point forecasting and forecast evaluation with generalized Huber loss Robert Taggart 58 19 0 27 Aug 2021
Smoothed Bernstein Online Aggregation for Day-Ahead Electricity Demand Forecasting F. Ziel 115 25 0 13 Jul 2021
Isotonic regression for functionals of elicitation complexity greater than one A. Muhlemann J. Ziegel 34 0 0 29 Jun 2021
On Testing Equal Conditional Predictive Ability Under Measurement Error Y. Hoga Timo Dimitriadis 32 6 0 21 Jun 2021
Lossy Compression for Lossless Prediction Yann Dubois Benjamin Bloem-Reddy Karen Ullrich Chris J. Maddison 141 62 0 21 Jun 2021
On the benefits of maximum likelihood estimation for Regression and Forecasting Pranjal Awasthi Abhimanyu Das Rajat Sen A. Suresh AI4TS 62 10 0 18 Jun 2021
Machine learning methods for postprocessing ensemble forecasts of wind gusts: A systematic comparison Benedikt Schulz Sebastian Lerch 71 77 0 17 Jun 2021
Consistent estimation of distribution functions under increasing concave and convex stochastic ordering A. Henzi 54 3 0 07 May 2021
Probabilistic water demand forecasting using quantile regression algorithms Georgia Papacharalampous A. Langousis 42 7 0 16 Apr 2021
Comparative evaluation of point process forecasts Jonas R. Brehmer T. Gneiting M. Herrmann W. Marzocchi Martin Schlather K. Strokorb AI4TS 29 4 0 22 Mar 2021
Valid sequential inference on probability forecast performance A. Henzi J. Ziegel 82 37 0 15 Mar 2021
Autocalibration and Tweedie-dominance for Insurance Pricing with Machine Learning M. Denuit Arthur Charpentier J. Trufin 69 39 0 05 Mar 2021
CRPS Learning Jonathan Berrisch F. Ziel 117 27 0 01 Feb 2021
Forecasting: theory and practice F. Petropoulos D. Apiletti Vassilios Assimakopoulos M. Z. Babai Devon K. Barrow ... J. Arenas Xiaoqian Wang R. L. Winkler Alisa Yusupova F. Ziel AI4TS 138 378 0 04 Dec 2020
The Efficiency Gap Timo Dimitriadis Tobias Fissler J. Ziegel 84 22 0 27 Oct 2020
Estimating and backtesting risk under heavy tails Marcin Pitera Thorsten Schmidt 17 5 0 20 Oct 2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary Timo Dimitriadis Xiaochun Liu Julie Schnaitmann 36 2 0 15 Sep 2020
Scoring Interval Forecasts: Equal-Tailed, Shortest, and Modal Interval Jonas R. Brehmer T. Gneiting 102 17 0 11 Jul 2020
Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories Michał Narajewski F. Ziel 68 53 0 04 May 2020
Tail risk inference via expectiles in heavy-tailed time series A. Davison S. Padoan Gilles Stupfler 35 17 0 08 Apr 2020
Scores for Multivariate Distributions and Level Sets Xiaochun Meng James W. Taylor Souhaib Ben Taieb Siran Li AI4TS 46 3 0 21 Feb 2020
A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting Zhengkun Li Minh-Ngoc Tran Chao Wang Richard Gerlach Junbin Gao BDL 23 3 0 23 Jan 2020
Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA) T. Gneiting Eva-Maria Walz 59 18 0 29 Nov 2019
Testing Forecast Rationality for Measures of Central Tendency Timo Dimitriadis Andrew J. Patton Patrick Schmidt 98 9 0 28 Oct 2019
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals Tobias Fissler Rafael Frongillo Jana Hlavinová Birgit Rudloff 49 18 0 16 Oct 2019
Virtual Historical Simulation for estimating the conditional VaR of large portfolios C. Francq J. Zakoian 41 10 0 10 Sep 2019
Isotonic Distributional Regression A. Henzi J. Ziegel T. Gneiting 159 62 0 09 Sep 2019
A review on ranking problems in statistical learning Tino Werner 40 4 0 06 Sep 2019
Forecast Encompassing Tests for the Expected Shortfall Timo Dimitriadis Julie Schnaitmann 47 9 0 13 Aug 2019
An Embedding Framework for Consistent Polyhedral Surrogates Jessie Finocchiaro Rafael Frongillo Bo Waggoner 59 30 0 17 Jul 2019
Elicitability and Identifiability of Systemic Risk Measures Tobias Fissler Jana Hlavinová Birgit Rudloff 100 6 0 02 Jul 2019
From Halfspace M-depth to Multiple-output Expectile Regression A. Daouia D. Paindaveine 50 10 0 29 May 2019
Why scoring functions cannot assess tail properties Jonas R. Brehmer K. Strokorb 45 20 0 10 May 2019
Optimal solutions to the isotonic regression problem Alexander I. Jordan A. Muhlemann J. Ziegel 60 13 0 09 Apr 2019
Evaluating Range Value at Risk Forecasts Tobias Fissler J. Ziegel 46 2 0 12 Feb 2019
Statistical post-processing of dual-resolution ensemble forecasts Sándor Baran M. Leutbecher Marianna Dinyáné Szabó Z. B. Bouallègue 16 10 0 14 Nov 2018
Performance Metrics (Error Measures) in Machine Learning Regression, Forecasting and Prognostics: Properties and Typology A. Botchkarev 58 544 0 09 Sep 2018