Related papers: Elicitability and its Application in Risk Manageme…
A statistical functional, such as the mean or the median, is called elicitable if there is a scoring function or loss function such that the correct forecast of the functional is the unique minimizer of the expected score. Such scoring…
Elicitable functionals and (strictly) consistent scoring functions are of interest due to their utility of determining (uniquely) optimal forecasts, and thus the ability to effectively backtest predictions. However, in practice, assuming…
Identification and scoring functions are statistical tools to assess the calibration and the relative performance of risk measure estimates, e.g., in backtesting. A risk measures is called identifiable (elicitable) it it admits a strict…
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based…
We introduce a theoretical framework of elicitability and identifiability of set-valued functionals, such as quantiles, prediction intervals, and systemic risk measures. A functional is elicitable if it is the unique minimiser of an…
A crucial part of data analysis is the validation of the resulting estimators, in particular, if several competing estimators need to be compared. Whether an estimator can be objectively validated is not a trivial property. If there exists…
Statistical functionals are called elicitable if there exists a loss or scoring function under which the functional is the optimal point forecast in expectation. While the mean and quantiles are elicitable, it has been shown in Heinrich…
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scoring function's components, the resulting risk measure…
A property, or statistical functional, is said to be elicitable if it minimizes expected loss for some loss function. The study of which properties are elicitable sheds light on the capabilities and limitations of point estimation and…
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical…
Informally, a risk measure is said to be elicitable if there exists a suitable scoring function such that minimizing its expected value recovers the risk measure. In this paper, we analyze the elicitability properties of the class of return…
The relative performance of competing point forecasts is usually measured in terms of loss or scoring functions. It is widely accepted that these scoring function should be strictly consistent in the sense that the expected score is…
Scoring functions are commonly used to evaluate a point forecast of a particular statistical functional. This scoring function should be consistent, meaning the correct value of the functional is the Bayes act, in which case we say the…
Motivated by the growing interest in sound forecast evaluation techniques with an emphasis on distribution tails rather than average behaviour, we investigate a fundamental question arising in this context: Can statistical features of…
In this note, we comment on the relevance of elicitability for backtesting risk measure estimates. In particular, we propose the use of Diebold-Mariano tests, and show how they can be implemented for Expected Shortfall (ES), based on the…
We consider different types of predictive intervals and ask whether they are elicitable, i.e. are unique minimizers of a loss or scoring function in expectation. The equal-tailed interval is elicitable, with a rich class of suitable loss…
We propose a holistic framework for constructing sensitivity measures for any elicitable functional $T$ of a response variable. The sensitivity measures, termed score-based sensitivities, are constructed via scoring functions that are…
Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measure. This measure is typically assumed fixed. Here, we adopt…
In the face of uncertainty, the need for probabilistic assessments has long been recognized in the literature on forecasting. In classification, however, comparative evaluation of classifiers often focuses on predictions specifying a single…
This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the…