This note relates the calibration of models to the consistent loss functions for the target functional of the model. We demonstrate that a model is calibrated if and only if there is a parameter value that is optimal under all consistent loss functions.
@article{arxiv.2502.11727,
title = {T-calibration in semi-parametric models},
author = {Anja Mühlemann and Johanna Ziegel},
journal= {arXiv preprint arXiv:2502.11727},
year = {2025}
}