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math.ST2019
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…
math.ST2015
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings
Werner Ehm, Tilmann Gneiting, Alexander Jordan +1
In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional, such as the mean or a quantile of the predictive…