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01/25/2023
Evaluating Probabilistic Classifiers: The Triptych
Probability forecasts for binary outcomes, often referred to as probabil...
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12/22/2022
Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
This paper illustrates the benefits of sampling intraday returns in intr...
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08/17/2022
Characterizing M-estimators
We characterize the full classes of M-estimators for semiparametric mode...
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08/16/2022
Osband's Principle for Identification Functions
Given a statistical functional of interest such as the mean or median, a...
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06/28/2022
Dynamic Co-Quantile Regression
The popular systemic risk measure CoVaR (conditional Value-at-Risk) is w...
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03/08/2022
Honest calibration assessment for binary outcome predictions
Probability predictions from binary regressions or machine learning meth...
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03/01/2022
A safe Hosmer-Lemeshow test
This technical report proposes an alternative to the Hosmer-Lemeshow (HL...
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06/21/2021
On Testing Equal Conditional Predictive Ability Under Measurement Error
Loss functions are widely used to compare several competing forecasts. H...
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10/27/2020
The Efficiency Gap
Parameter estimation via M- and Z-estimation is broadly considered to be...
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09/15/2020
Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary
We propose forecast encompassing tests for the Expected Shortfall (ES) j...
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08/07/2020
Evaluating probabilistic classifiers: Reliability diagrams and score decompositions revisited
A probability forecast or probabilistic classifier is reliable or calibr...
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10/28/2019
Testing Forecast Rationality for Measures of Central Tendency
Rational respondents to economic surveys may report as a point forecast ...
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08/13/2019