49 citations · 49 across the 5 of their papers we have counts for
6 papers
Residual Distribution Predictive Systems
Sam Allen, Enrico Pescara, Johanna Ziegel
Conformal predictive systems are sets of predictive distributions with theoretical out-of-sample calibration guarantees. The calibration guarantees are typically that the set of pr…
Assessing the conditional calibration of interval forecasts using decompositions of the interval score
Sam Allen, Julia Burnello, Johanna Ziegel
Forecasts for uncertain future events should be probabilistic. Probabilistic forecasts are commonly issued as prediction intervals, which provide a measure of uncertainty in the un…
Proper scoring rules for estimation and forecast evaluation
Kartik Waghmare, Johanna Ziegel
Proper scoring rules have been a subject of growing interest in recent years, not only as tools for evaluation of probabilistic forecasts but also as methods for estimating probabi…
In-sample calibration yields conformal calibration guarantees
Sam Allen, Georgios Gavrilopoulos, Alexander Henzi +2
Conformal prediction produces a set of predictions that has out-of-sample calibration guarantees by construction, under the assumption of exchangeability. In this work, we study th…
Tail calibration of probabilistic forecasts
Sam Allen, Jonathan Koh, Johan Segers +1
Probabilistic forecasts comprehensively describe the uncertainty in the unknown future outcome, making them essential for decision making and risk management. While several methods…
Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)
Andrew J. Patton, Johanna F. Ziegel, Rui Chen
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel II…