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econ.EM2026
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…
econ.EM2020
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…