5 citations · 5 across the 1 of their papers we have counts for
3 papers
math.ST2019
Why scoring functions cannot assess tail properties
Jonas Brehmer, Kirstin Strokorb
Motivated by the growing interest in sound forecast evaluation techniques with an emphasis on distribution tails rather than average behaviour, we investigate a fundamental questio…
math.ST2018
Properization: Constructing Proper Scoring Rules via Bayes Acts
Jonas Brehmer, Tilmann Gneiting
Scoring rules serve to quantify predictive performance. A scoring rule is proper if truth telling is an optimal strategy in expectation. Subject to customary regularity conditions,…
math.ST2017★ 5 cited
Elicitability and its Application in Risk Management
Jonas Brehmer
Elicitability is a property of -valued functionals defined on a set of distribution functions. These functionals represent statistical properties of a distribution, f…