449 citations · 2.1k across the 35 of their papers we have counts for
6 papers · 1 filter
Forecaster's Dilemma: Extreme Events and Forecast Evaluation
Sebastian Lerch, Thordis L. Thorarinsdottir, Francesco Ravazzolo +1
In public discussions of the quality of forecasts, attention typically focuses on the predictive performance in cases of extreme events. However, the restriction of conventional fo…
Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting
Tobias Fissler, Johanna F. Ziegel, Tilmann Gneiting
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can…
Spatially adaptive, Bayesian estimation for probabilistic temperature forecasts
Annette Möller, Thordis L. Thorarinsdottir, Alex Lenkoski +1
Uncertainty in the prediction of future weather is commonly assessed through the use of forecast ensembles that employ a numerical weather prediction model in distinct variants. St…
Interpretation of point forecasts with unkown directive
Patrick Schmidt, Matthias Katzfuß, Tilmann Gneiting
Point forecasts can be interpreted as functionals (i.e., point summaries) of predictive distributions. We consider the situation where forecasters' directives are hidden and develo…
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings
Werner Ehm, Tilmann Gneiting, Alexander Jordan +1
In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional, such as the mean or a quantile of the predictive…
Gaussian Random Particles with Flexible Hausdorff Dimension
Linda V. Hansen, Thordis L. Thorarinsdottir, Evgeni Ovcharov +2
Gaussian particles provide a flexible framework for modelling and simulating three-dimensional star-shaped random sets. In our framework, the radial function of the particle arises…