Quotation Fissler, Tobias. 2017. The Elicitation Problem. 20th European Young Statisticians Meeting, Uppsala, Schweden, 14.08.-18.08.


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Abstract

Competing point forecasts for functionals such as the mean, a quantile, or a certain risk measure are commonly compared in terms of loss functions. These should be incentive compatible, i.e., the expected score should be minimized by the correctly specified functional of interest. A functional is called *elicitable* if it possesses such an incentive compatible loss function. With the squared loss and the absolute loss, the mean and the median possess such incentive compatible loss functions, which means they are elicitable. In contrast, variance or Expected Shortfall are not elicitable. Besides investigating the elicitability of a functional, it is important to determine the whole class of incentive compatible loss functions as well as to give recommendations which loss function to use in practice, taking into regard secondary quality criteria of loss functions such as order-sensitivity, convexity, or homogeneity.

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Status of publication Published
Affiliation External
Type of publication Paper presented at an academic conference or symposium
Language English
Title The Elicitation Problem
Event 20th European Young Statisticians Meeting
Year 2017
Date 14.08.-18.08.
Country Sweden
Location Uppsala
URL https://indico.uu.se/event/317/contributions/287/

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Fissler, Tobias (Details)
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