462 citations · 706 across the 37 of their papers we have counts for
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math.FA2017
Strictly proper kernel scores and characteristic kernels on compact spaces
Ingo Steinwart, Johanna F. Ziegel
Strictly proper kernel scores are well-known tool in probabilistic forecasting, while characteristic kernels have been extensively investigated in the machine learning literature.…
math.ST2017★ 21 cited
Order-Sensitivity and Equivariance of Scoring Functions
Tobias Fissler, Johanna F. Ziegel
The relative performance of competing point forecasts is usually measured in terms of loss or scoring functions. It is widely accepted that these scoring function should be strictl…
q-fin.RM2017
Murphy Diagrams: Forecast Evaluation of Expected Shortfall
Johanna F. Ziegel, Fabian Krüger, Alexander Jordan +1
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to eva…