Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings

Zero Expectile Processes and Bayesian Spatial Regression

(2016) Anandamayee Majumdar et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Entropy based statistical inference for methane emissions released from wetland

(2015) R. Sabolová et al.   CHEMOMETRICS AND INTELLIGENT LABORATORY SYSTEMS

Generalised density forecast combinations

(2015) G. Kapetanios et al.   JOURNAL OF ECONOMETRICS

On elicitable risk measures

(2015) Fabio Bellini et al.   QUANTITATIVE FINANCE

Minimum Scoring Rule Inference

(2015) A. Philip Dawid et al.   SCANDINAVIAN JOURNAL OF STATISTICS

The role of the information set for forecasting—with applications to risk management

(2014) Hajo Holzmann et al.   Annals of Applied Statistics

Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting

(2014) Tae-Hwy Lee et al.   JOURNAL OF ECONOMETRICS

COHERENCE AND ELICITABILITY

(2014) Johanna F. Ziegel   MATHEMATICAL FINANCE

Expectile and quantile regression—David and Goliath?

(2014) Linda Schulze Waltrup et al.   STATISTICAL MODELLING

Probabilistic Forecasting

(2014) Tilmann Gneiting et al.   Annual Review of Statistics and Its Application

The asymptotics of ranking algorithms

(2013) John C. Duchi et al.   ANNALS OF STATISTICS

The harmonic moment tail index estimator: asymptotic distribution and robustness

(2013) Jan Beran et al.   ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS

Generalized quantiles as risk measures

(2013) Fabio Bellini et al.   INSURANCE MATHEMATICS & ECONOMICS

Time-varying combinations of predictive densities using nonlinear filtering

(2013) Monica Billio et al.   JOURNAL OF ECONOMETRICS

Calibration and regret bounds for order-preserving surrogate losses in learning to rank

(2013) Clément Calauzènes et al.   MACHINE LEARNING

Decomposition and graphical portrayal of the quantile score

(2013) Sabrina Bentzien et al.   QUARTERLY JOURNAL OF THE ROYAL METEOROLOGICAL SOCIETY

Combining predictive distributions

(2013) Tilmann Gneiting et al.   Electronic Journal of Statistics

On Bregman Distances and Divergences of Probability Measures

(2012) Wolfgang Stummer et al.   IEEE TRANSACTIONS ON INFORMATION THEORY

Calibrated asymmetric surrogate losses

(2012) Clayton Scott   Electronic Journal of Statistics

Added economic value of limited area multi-EPS weather forecasting applications

(2012) Geert Smet et al.   TELLUS SERIES A-DYNAMIC METEOROLOGY AND OCEANOGRAPHY

Spatial threshold exceedance analysis through marked point processes

(2011) A.E. Madrid et al.   ENVIRONMETRICS

Optimal prediction pools

(2011) John Geweke et al.   JOURNAL OF ECONOMETRICS

Making and Evaluating Point Forecasts

(2011) Tilmann Gneiting   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Summary Verification Measures and Their Interpretation for Ensemble Forecasts

(2011) A. Allen Bradley et al.   MONTHLY WEATHER REVIEW

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules

(2010) Tilmann Gneiting et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Volatility forecast comparison using imperfect volatility proxies

(2010) Andrew J. Patton   JOURNAL OF ECONOMETRICS

Probabilistic Weather Forecasting for Winter Road Maintenance

(2010) Veronica J. Berrocal et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Kullback–Leibler Divergence as a Forecast Skill Score with Classic Reliability–Resolution–Uncertainty Decomposition

(2010) Steven V. Weijs et al.   MONTHLY WEATHER REVIEW

Structural analysis of spatio-temporal threshold exceedances

(2009) J. M. Angulo et al.   ENVIRONMETRICS

Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters

(2009) Joseph Engelberg et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve

(2009) Glenn D. Rudebusch et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

An improved bootstrap test of stochastic dominance

(2009) Oliver Linton et al.   JOURNAL OF ECONOMETRICS

Evaluating Quantile Assessments

(2009) Victor Richmond R. Jose et al.   OPERATIONS RESEARCH

Reliability, sufficiency, and the decomposition of proper scores

(2009) Jochen Bröcker   QUARTERLY JOURNAL OF THE ROYAL METEOROLOGICAL SOCIETY

Pointwise testing with functional data using the Westfall-Young randomization method

(2008) D. D. Cox et al.   BIOMETRIKA