Probabilistic forecasting
T Gneiting, M Katzfuss - Annual Review of Statistics and Its …, 2014 - annualreviews.org
A probabilistic forecast takes the form of a predictive probability distribution over future
quantities or events of interest. Probabilistic forecasting aims to maximize the sharpness of …
quantities or events of interest. Probabilistic forecasting aims to maximize the sharpness of …
Making and evaluating point forecasts
T Gneiting - Journal of the American Statistical Association, 2011 - Taylor & Francis
Typically, point forecasting methods are compared and assessed by means of an error
measure or scoring function, with the absolute error and the squared error being key …
measure or scoring function, with the absolute error and the squared error being key …
Higher order elicitability and Osband's principle
Higher order elicitability and Osband's principle Page 1 The Annals of Statistics 2016, Vol. 44,
No. 4, 1680–1707 DOI: 10.1214/16-AOS1439 © Institute of Mathematical Statistics, 2016 …
No. 4, 1680–1707 DOI: 10.1214/16-AOS1439 © Institute of Mathematical Statistics, 2016 …
[PDF][PDF] Back-testing expected shortfall
C Acerbi, B Szekely - Risk, 2014 - academia.edu
EXECUTIVE SUMMARY When RiskMetrics announced Value-at-Risk (VaR) as its stated
measure of risk in 1996, it initiated an industry standard for institutional risk management …
measure of risk in 1996, it initiated an industry standard for institutional risk management …
What is the best risk measure in practice? A comparison of standard measures
S Emmer, M Kratz, D Tasche - arXiv preprint arXiv:1312.1645, 2013 - arxiv.org
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually
superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues …
superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues …
Elicitability and backtesting: Perspectives for banking regulation
Elicitability and backtesting: Perspectives for banking regulation Page 1 The Annals of Applied
Statistics 2017, Vol. 11, No. 4, 1833–1874 https://doi.org/10.1214/17-AOAS1041 © Institute of …
Statistics 2017, Vol. 11, No. 4, 1833–1874 https://doi.org/10.1214/17-AOAS1041 © Institute of …
Coherence and elicitability
JF Ziegel - Mathematical Finance, 2016 - Wiley Online Library
The risk of a financial position is usually summarized by a risk measure. As this risk measure
has to be estimated from historical data, it is important to be able to verify and compare …
has to be estimated from historical data, it is important to be able to verify and compare …
Prior knowledge elicitation: The past, present, and future
Prior Knowledge Elicitation: The Past, Present, and Future Page 1 Bayesian Analysis (2024)
19, Number 4, pp. 1129–1161 Prior Knowledge Elicitation: The Past, Present, and Future ∗ …
19, Number 4, pp. 1129–1161 Prior Knowledge Elicitation: The Past, Present, and Future ∗ …
A penny for your thoughts: A survey of methods for eliciting beliefs
Incentivized methods for eliciting subjective probabilities in economic experiments present
the subject with risky choices that encourage truthful reporting. We discuss the most …
the subject with risky choices that encourage truthful reporting. We discuss the most …
Evaluating predictive count data distributions in retail sales forecasting
S Kolassa - International Journal of Forecasting, 2016 - Elsevier
Massive increases in computing power and new database architectures allow data to be
stored and processed at finer and finer granularities, yielding count data time series with …
stored and processed at finer and finer granularities, yielding count data time series with …