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math.ST2019★ 21 cited
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals
Tobias Fissler, Rafael Frongillo, Jana Hlavinová +1
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A function…
math.ST2018
On the Indirect Elicitability of the Mode and Modal Interval
Krisztina Dearborn, Rafael Frongillo
Scoring functions are commonly used to evaluate a point forecast of a particular statistical functional. This scoring function should be consistent, meaning the correct value of th…