7 citations · 10 across the 2 of their papers we have counts for
2 papers
math.ST2016★ 7 cited
Asymptotics for the expected shortfall
Tobias Zwingmann, Hajo Holzmann
We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particula…
stat.ME2016★ 3 cited
Weighted scoring rules and hypothesis testing
Hajo Holzmann, Bernhard Klar
We discuss weighted scoring rules for forecast evaluation and their connection to hypothesis testing. First, a general construction principle for strictly locally proper weighted s…