Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Timo Dimitriadis"'
Autor:
Tilmann Gneiting, Daniel Wolffram, Johannes Resin, Kristof Kraus, Johannes Bracher, Timo Dimitriadis, Veit Hagenmeyer, Alexander I. Jordan, Sebastian Lerch, Kaleb Phipps, Melanie Schienle
Publikováno v:
Annual Review of Statistics and Its Application. 10:597-621
Model diagnostics and forecast evaluation are closely related tasks, with the former concerning in-sample goodness (or lack) of fit and the latter addressing predictive performance out-of-sample. We review the ubiquitous setting in which forecasts ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d699b3f57396cbd309f50850e47b611e
https://doi.org/10.1146/annurev-statistics-032921-020240
https://doi.org/10.1146/annurev-statistics-032921-020240
Publikováno v:
Statistical Papers
Dimitriadis, Timo; Fissler, Tobias; Ziegel, Johanna (2023). Osband’s principle for identification functions (In Press). Statistical Papers Springer 10.1007/s00362-023-01428-x
Dimitriadis, Timo; Fissler, Tobias; Ziegel, Johanna (2023). Osband’s principle for identification functions (In Press). Statistical Papers Springer 10.1007/s00362-023-01428-x
Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e4c334009daac7cf853ac67160f0c83
https://doi.org/10.1007/s00362-023-01428-x
https://doi.org/10.1007/s00362-023-01428-x
Autor:
Yannick Hoga, Timo Dimitriadis
Publikováno v:
Journal of Business & Economic Statistics. 41:364-376
Loss functions are widely used to compare several competing forecasts. However, forecast comparisons are often based on mismeasured proxy variables for the true target. We introduce the concept of exact robustness to measurement error for loss functi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88e0e91d840f71e708001a572a2405db
https://doi.org/10.1080/07350015.2021.2021923
https://doi.org/10.1080/07350015.2021.2021923
Publikováno v:
Journal of Financial Econometrics. 21:412-444
We propose forecast encompassing tests for the expected shortfall (ES) jointly with the value at risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for link functio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d3fe6d0725102111e4f54305aa265964
https://doi.org/10.1093/jjfinec/nbab004
https://doi.org/10.1093/jjfinec/nbab004
Autor:
Timo Dimitriadis, Roxana Halbleib
This article proposes a simple approach to estimate quantiles of daily financial returns directly from high-frequency data. We denote the resulting estimator as realized quantile (RQ) and use it to forecast tail risk measures, such as Value at Risk (
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::56df55dab56bd3e0ceeb76dbcb6c1b1c
Publikováno v:
Proceedings of the National Academy of Sciences of the United States of America, 118 (8)
Proceedings of the National Academy of Sciences of the United States of America
Proceedings of the National Academy of Sciences of the United States of America
Significance Probabilistic classifiers assign predictive probabilities to binary events, such as rainfall tomorrow, a recession, or a personal health outcome. Such a system is reliable or calibrated if the predictive probabilities are matched by the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::93dae90e8ce7126c50a153eaec940e42
https://publikationen.bibliothek.kit.edu/1000130510/106591216
https://publikationen.bibliothek.kit.edu/1000130510/106591216
Autor:
Timo Dimitriadis, Julie Schnaitmann
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9ee0224b979ea2a9d815ee2906204abf
http://arxiv.org/abs/1908.04569
http://arxiv.org/abs/1908.04569
Publikováno v:
SSRN Electronic Journal.
We propose forecast encompassing tests for the Expected Shortfall (ES) jointly with the Value at Risk (VaR) based on flexible link (or combination) functions. Our setup allows testing encompassing for convex forecast combinations and for link functio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::95a61073808347a9a27c02c3aa48d397
https://doi.org/10.2139/ssrn.3497321
https://doi.org/10.2139/ssrn.3497321
Publikováno v:
SSRN Electronic Journal.
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e295e008eebb378f9fb72ee1f4bbaeea
https://doi.org/10.2139/ssrn.3466442
https://doi.org/10.2139/ssrn.3466442
Autor:
Timo Dimitriadis, Julie Schnaitmann
Publikováno v:
SSRN Electronic Journal.
We introduce new forecast encompassing tests for the risk measure Expected Shortfall (ES). The ES currently receives much attention through its introduction into the Basel III Accords, which stipulate its use as the primary market risk measure for th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4b41e8d0d30b4a3493c530801d10dac3
https://doi.org/10.2139/ssrn.3436728
https://doi.org/10.2139/ssrn.3436728