462 citations · 706 across the 37 of their papers we have counts for
4 papers · 1 filter
Isotonic Distributional Regression
Alexander Henzi, Johanna F. Ziegel, Tilmann Gneiting
Isotonic distributional regression (IDR) is a powerful nonparametric technique for the estimation of conditional distributions under order restrictions. In a nutshell, IDR learns c…
Optimal solutions to the isotonic regression problem
Alexander I. Jordan, Anja Mühlemann, Johanna F. Ziegel
In general, the solution to a regression problem is the minimizer of a given loss criterion, and depends on the specified loss function. The nonparametric isotonic regression probl…
Evaluating Range Value at Risk Forecasts
Tobias Fissler, Johanna F. Ziegel
The debate of what quantitative risk measure to choose in practice has mainly focused on the dichotomy between Value at Risk (VaR) -- a quantile -- and Expected Shortfall (ES) -- a…
Supplement to "Erratum: Higher Order Elicitability and Osband's Principle"
Tobias Fissler, Johanna F. Ziegel
This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and comments on imprecisions in Propositions 4.2 and 4.4 in Fissler and Ziegel (2016).