8 citations · 15 across the 10 of their papers we have counts for
10 papers
Uncertainty Quantification in Forecast Comparisons
Marc-Oliver Pohle, Tanja Zahn, Sebastian Lerch
Skill scores, which measure the relative improvement of a forecasting method over a benchmark via consistent scoring functions and proper scoring rules, are a standard tool in fore…
Asymptotic Inference for Rank Correlations
Marc-Oliver Pohle, Jan-Lukas Wermuth, Christian H. Weiß
Kendall's tau and Spearman's rho are widely used tools for measuring dependence. Surprisingly, when it comes to asymptotic inference for these rank correlations, some fundamental r…
Simultaneous Inference Bands for Autocorrelations
Uwe Hassler, Marc-Oliver Pohle, Tanja Zahn
Sample autocorrelograms typically come with significance (non-rejection) bands for the null hypothesis of no temporal correlation. These bands have three shortcomings. First, they…
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…
Generalised Covariances and Correlations
Tobias Fissler, Marc-Oliver Pohle
The covariance of two random variables measures the average joint deviations from their respective means. We generalise this well-known measure by replacing the means with other st…
Testing Quantile Forecast Optimality
Jack Fosten, Daniel Gutknecht, Marc-Oliver Pohle
Quantile forecasts made across multiple horizons have become an important output of many financial institutions, central banks and international organisations. This paper proposes…
Score-based calibration testing for multivariate forecast distributions
Malte Knüppel, Fabian Krüger, Marc-Oliver Pohle
Calibration tests based on the probability integral transform (PIT) are routinely used to assess the quality of univariate distributional forecasts. However, PIT-based calibration…
Unlucky Number 13? Manipulating Evidence Subject to Snooping
Uwe Hassler, Marc-Oliver Pohle
Questionable research practices like HARKing or p-hacking have generated considerable recent interest throughout and beyond the scientific community. We subsume such practices invo…
The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation
Marc-Oliver Pohle
I provide a unifying perspective on forecast evaluation, characterizing accurate forecasts of all types, from simple point to complete probabilistic forecasts, in terms of two fund…
Forecasting under Long Memory and Nonstationarity
Uwe Hassler, Marc-Oliver Pohle
Long memory in the sense of slowly decaying autocorrelations is a stylized fact in many time series from economics and finance. The fractionally integrated process is the workhorse…