1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of ViennaAT14 papers
- Sapienza University of RomeIT12 papers
- Complexity Science HubAT11 papers
- University of SalzburgAT9 papers
- Johannes Kepler University of LinzAT8 papers
- Humboldt-Universität zu BerlinDE7 papers
- The University of MelbourneAU7 papers
- TU WienAT7 papers
- ETH ZurichCH6 papers
- Queensland University of TechnologyAU5 papers
- University College DublinIE5 papers
- University of AmsterdamNL5 papers
8 papers · 1 filter
Clustered Archimax Copulas
Simon Chatelain, Samuel Perreault, Johanna G. Nešlehová +1
When modeling multivariate phenomena, properly capturing the joint extremal behavior is often one of the many concerns. Archimax copulas appear as successful candidates in case of…
Osband's Principle for Identification Functions
Timo Dimitriadis, Tobias Fissler, Johanna Ziegel
Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identif…
Measurability of functionals and of ideal point forecasts
Tobias Fissler, Hajo Holzmann
The ideal probabilistic forecast for a random variable based on an information set is the conditional distribution of given . In the context of p…
Is the mode elicitable relative to unimodal distributions?
Claudio Heinrich-Mertsching, Tobias Fissler
Statistical functionals are called elicitable if there exists a loss or scoring function under which the functional is the optimal point forecast in expectation. While the mean and…
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals
Tobias Fissler, Rafael Frongillo, Jana Hlavinová +1
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A function…
Elicitability and Identifiability of Systemic Risk Measures
Tobias Fissler, Jana Hlavinová, Birgit Rudloff
Identification and scoring functions are statistical tools to assess the calibration and the relative performance of risk measure estimates, e.g., in backtesting. A risk measures i…
Evaluating Range Value at Risk Forecasts
Tobias Fissler, Johanna F. Ziegel
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a…
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle"
Tobias Fissler, Johanna F. Ziegel
This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and comments on imprecisions in Propositions 4.2 and 4.4 in Fissler and Ziegel (2016).