4 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. WeiÃ
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…
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…
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…