1 citations · 1 across the 4 of their papers we have counts for
6 papers
Statistical Inference for Score Decompositions
Timo Dimitriadis, Marius Puke
We introduce inference methods for score decompositions, which partition scoring functions for predictive assessment into three interpretable components: miscalibration, discrimina…
Expected Kullback-Leibler-based characterizations of score-driven updates
Ramon de Punder, Timo Dimitriadis, Rutger-Jan Lange
Score-driven (SD) models are a standard tool in statistics and econometrics, with applications in hundreds of published articles in the past decade. We provide an information-theor…
Measuring Dependence between Events
Marc-Oliver Pohle, Timo Dimitriadis, Jan-Lukas Wermuth
Measuring dependence between two events, or equivalently between two binary random variables, amounts to expressing the dependence structure inherent in a contingency t…
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
Timo Dimitriadis, Xiaochun Liu, Julie Schnaitmann
We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows test…
Testing Forecast Rationality for Measures of Central Tendency
Timo Dimitriadis, Andrew J. Patton, Patrick W. Schmidt
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean…
Forecast Encompassing Tests for the Expected Shortfall
Timo Dimitriadis, Julie Schnaitmann
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Acco…