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09/24/2021
Sequentially valid tests for forecast calibration
Forecasting and forecast evaluation are inherently sequential tasks. Pre...
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06/29/2021
Isotonic regression for functionals of elicitation complexity greater than one
We study the non-parametric isotonic regression problem for bivariate el...
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03/15/2021
Valid sequential inference on probability forecast performance
Probability forecasts for binary events play a central role in many appl...
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10/27/2020
The Efficiency Gap
Parameter estimation via M- and Z-estimation is broadly considered to be...
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06/16/2020
Distributional (Single) Index Models
A Distributional (Single) Index Model (DIM) is a semi-parametric model f...
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09/09/2019
Isotonic Distributional Regression
Isotonic distributional regression (IDR) is a powerful nonparametric tec...
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04/09/2019
Optimal solutions to the isotonic regression problem
In general, the solution to a regression problem is the minimizer of a g...
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02/12/2019
Elicitability of Range Value at Risk
The predictive performance of point forecasts for a statistical function...
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01/25/2019
Erratum: Higher Order Elicitability and Osband's Principle
This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and...
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12/21/2018
Local Estimation of a Multivariate Density and its Derivatives
We present methods for estimating the multivariate probability density (...
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05/24/2018
Generic Conditions for Forecast Dominance
Recent studies have analyzed whether one forecast method dominates anoth...
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12/14/2017
Strictly proper kernel scores and characteristic kernels on compact spaces
Strictly proper kernel scores are well-known tool in probabilistic forec...
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11/27/2017