Auto-Calibration Tests for Discrete Finite Regression Functions
Statistics Theory
2024-08-13 v1 Statistics Theory
Abstract
Auto-calibration is an important property of regression functions for actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al.~(2024) recently published a test with an asymptotic distribution that is not fully explicit and its evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions.
Cite
@article{arxiv.2408.05993,
title = {Auto-Calibration Tests for Discrete Finite Regression Functions},
author = {Mario V. Wüthrich},
journal= {arXiv preprint arXiv:2408.05993},
year = {2024}
}