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Higher order elicitability and Osband's principle

27 March 2015

Papers citing "Higher order elicitability and Osband's principle"

24 / 24 papers shown

Title
Risk-sensitive Reinforcement Learning Based on Convex Scoring Functions Shanyu Han Yang Liu Xiang Yu 92 0 0 07 May 2025
Proper scoring rules for estimation and forecast evaluation Kartik Waghmare Johanna Ziegel AI4TS 252 2 0 02 Apr 2025
Deep Learning Enhanced Realized GARCH Chen Liu Chao Wang Minh-Ngoc Tran Robert Kohn 34 0 0 16 Feb 2023
Robust Estimation and Inference for Expected Shortfall Regression with Many Regressors Xuming He Kean Ming Tan Wen-Xin Zhou 46 8 0 11 Dec 2022
Risk-aware linear bandits with convex loss Patrick Saux Odalric-Ambrym Maillard 54 2 0 15 Sep 2022
Characterizing M-estimators Timo Dimitriadis Tobias Fissler J. Ziegel 64 9 0 17 Aug 2022
Isotonic regression for functionals of elicitation complexity greater than one A. Muhlemann J. Ziegel 34 0 0 29 Jun 2021
Unifying Lower Bounds on Prediction Dimension of Consistent Convex Surrogates Jessie Finocchiaro Rafael Frongillo Bo Waggoner 101 4 0 16 Feb 2021
The Efficiency Gap Timo Dimitriadis Tobias Fissler J. Ziegel 87 22 0 27 Oct 2020
Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices Nadja Klein M. Smith David J. Nott BDL AI4TS 54 27 0 05 Oct 2020
Scoring Interval Forecasts: Equal-Tailed, Shortest, and Modal Interval Jonas R. Brehmer T. Gneiting 111 17 0 11 Jul 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 33 3 0 23 Jan 2020
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
Forecast Encompassing Tests for the Expected Shortfall Timo Dimitriadis Julie Schnaitmann 59 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 102 6 0 02 Jul 2019
Why scoring functions cannot assess tail properties Jonas R. Brehmer K. Strokorb 54 20 0 10 May 2019
Properization: Constructing Proper Scoring Rules via Bayes Acts Jonas R. Brehmer T. Gneiting 53 14 0 19 Jun 2018
Elicitability and its Application in Risk Management Jonas R. Brehmer 56 15 0 30 Jul 2017
Forecast dominance testing via sign randomization W. Ehm Fabian Kruger 75 5 0 10 Jul 2017
A Joint Quantile and Expected Shortfall Regression Framework Timo Dimitriadis Sebastian Bayer 64 52 0 07 Apr 2017
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings W. Ehm T. Gneiting Alexander I. Jordan Fabian Kruger AI4TS 88 166 0 27 Mar 2015
Proper Scoring Rules and Bregman Divergences E. Ovcharov 120 23 0 04 Feb 2015