4 papers
A Kernel Score Perspective on Forecast Disagreement and the Linear Pool
Fabian Krüger
This paper generalizes several results on linear pooling from squared error loss to all kernel scores. The latter are a rich family of scoring rules that covers point and distribut…
Score-based calibration testing for multivariate forecast distributions
Malte Knüppel, Fabian Krüger, Marc-Oliver Pohle
Calibration tests based on the probability integral transform (PIT) are routinely used to assess the quality of univariate distributional forecasts. However, PIT-based calibration…
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…
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…