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20112026
most citedThe role of the information set for forecasting - with applications to risk management

48 citations · 88 across the 24 of their papers we have counts for

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Showing 2021Show all

2 papers · 1 filter

stat.ME2021

Using Proxies to Improve Forecast Evaluation

Hajo Holzmann, Bernhard Klar

Comparative evaluation of forecasts of statistical functionals relies on comparing averaged losses of competing forecasts after the realization of the quantity , on which the fu…

math.ST2021★ 1 cited

Bounded support in linear random coefficient models: Identification and variable selection

Philipp Hermann, Hajo Holzmann

We consider linear random coefficient regression models, where the regressors are allowed to have a finite support. First, we investigate identifiability, and show that the means a…