3 papers
stat.ME2026
Uncertainty quantification for expectation-calibrated predictions
Georgios Gavrilopoulos, Johanna Ziegel
The existing literature on model calibration focuses mainly on classification and probabilistic prediction. In this work, we address calibrated point predictions for the conditiona…
stat.ME2026
Sequentially valid inference for probabilistic inflation forecasts
Amadeo Grob, Maurizio Daniele, Johanna Ziegel
Traditional statistical tests are poorly suited for the sequential evaluation of probabilistic forecast calibration. We address this limitation in macroeconomic forecasting by appl…
stat.ME2024
Sequential model confidence sets
Sebastian Arnold, Georgios Gavrilopoulos, Benedikt Schulz +1
In most prediction and estimation situations, scientists consider various statistical models for the same problem, and naturally want to select amongst the best. Hansen et al. (201…