Correction note: Higher order elicitability and Osband’s principle
| Autor: | Tobias Fissler, Johanna F. Ziegel |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
62C99
Statistics and Probability scoring rules Decision theory spectral risk measures value at risk 91B06 scoring functions Expected shortfall 510 Mathematics propriety elicitability Order (business) Consistency (statistics) expected shortfall Econometrics Consistency decision theory Statistics Probability and Uncertainty point forecasts Value at risk Mathematics |
| Zdroj: | Ann. Statist. 49, no. 1 (2021), 614 |
| ISSN: | 0090-5364 |
| DOI: | 10.1214/20-aos2014 |
| Popis: | A pair of errors regarding Proposition 3.4 and Theorem 5.2(ii) of Fissler and Ziegel (2016) have been noted. Corrections to them along with comments on imprecisions in two other results, Propositions 4.2 and 4.4 in the same article, are provided in the online supplement Fissler and Ziegel (2020). |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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