v1v2v3 (latest)

Coherence and elicitability

7 March 2013

Papers citing "Coherence and elicitability"

32 / 32 papers shown

Title
Estimation of the Adjusted Standard-deviatile for Extreme Risks Haoyu Chen Tiantian Mao Fan Yang 27 1 0 11 Nov 2024
Elicitability and identifiability of tail risk measures Tobias Fissler Fangda Liu Ruodu Wang Linxiao Wei 82 2 0 22 Apr 2024
Set-valued expectiles for ordered data analysis Ha Thi Khanh Linh Andreas H Hamel 22 2 0 15 Dec 2023
Retire: Robust Expectile Regression in High Dimensions Rebeka Man Kean Ming Tan Zian Wang Wen-Xin Zhou 55 9 0 11 Dec 2022
Conditionally Risk-Averse Contextual Bandits Mónika Farsang Paul Mineiro Wangda Zhang 57 2 0 24 Oct 2022
Extreme expectile estimation for short-tailed data, with an application to market risk assessment A. Daouia S. Padoan Gilles Stupfler 36 1 0 05 Oct 2022
Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$ -quantiles V. Bignozzi Luca Merlo L. Petrella 23 0 0 26 Sep 2022
Risk-aware linear bandits with convex loss Patrick Saux Odalric-Ambrym Maillard 47 2 0 15 Sep 2022
Estimating value at risk: LSTM vs. GARCH Weronika Ormaniec Marcin Pitera Sajad Safarveisi Thorsten Schmidt AIFin 48 1 0 21 Jul 2022
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning Anthony Coache S. Jaimungal Á. Cartea 135 13 0 29 Jun 2022
Bayesian non-conjugate regression via variational message passing C. Castiglione M. Bernardi 35 0 0 19 Jun 2022
Isotonic regression for functionals of elicitation complexity greater than one A. Muhlemann J. Ziegel 26 0 0 29 Jun 2021
K-expectiles clustering Bingling Wang Yingxing Li Wolfgang Karl Härdle 31 5 0 16 Mar 2021
Estimating and backtesting risk under heavy tails Marcin Pitera Thorsten Schmidt 10 5 0 20 Oct 2020
Forecast Evaluation of Quantiles, Prediction Intervals, and other Set-Valued Functionals Tobias Fissler Rafael Frongillo Jana Hlavinová Birgit Rudloff 49 18 0 16 Oct 2019
Robust Estimation and Shrinkage in Ultrahigh Dimensional Expectile Regression with Heavy Tails and Variance Heterogeneity Jun Zhao G. Yan Yi Zhang 87 14 0 20 Sep 2019
A review on ranking problems in statistical learning Tino Werner 28 4 0 06 Sep 2019
Elicitability and Identifiability of Systemic Risk Measures Tobias Fissler Jana Hlavinová Birgit Rudloff 98 6 0 02 Jul 2019
From Halfspace M-depth to Multiple-output Expectile Regression A. Daouia D. Paindaveine 50 10 0 29 May 2019
Distributionally Robust Inference for Extreme Value-at-Risk Robert Yuen Stilian A. Stoev D. Cooley 28 12 0 15 Feb 2019
Evaluating Range Value at Risk Forecasts Tobias Fissler J. Ziegel 46 2 0 12 Feb 2019
Conditional Tail-Related Risk Estimation Using Composite Asymmetric Least Squares and Empirical Likelihood Sheng Wu Yi Zhang Jun Zhao Li Shen 16 0 0 03 Jul 2018
Elicitability and its Application in Risk Management Jonas R. Brehmer 51 15 0 30 Jul 2017
Weak convergence of quantile and expectile processes under general assumptions Tobias Zwingmann H. Holzmann 26 6 0 14 Jun 2017
Statistical inference for expectile-based risk measures Volker Krätschmer Henryk Zähle 92 32 0 20 Jan 2016
Representation of Quasi-Monotone Functionals by Families of Separating Hyperplanes Ingo Steinwart 20 0 0 21 Aug 2015
Elicitation Complexity of Statistical Properties Rafael Frongillo Ian A. Kash 45 7 0 23 Jun 2015
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings W. Ehm T. Gneiting Alexander I. Jordan Fabian Kruger AI4TS 74 166 0 27 Mar 2015
Higher order elicitability and Osband's principle Tobias Fissler J. Ziegel 66 328 0 27 Mar 2015
Proper Scoring Rules and Bregman Divergences E. Ovcharov 120 23 0 04 Feb 2015
Bregman superquantiles. Estimation methods and applications Tatiana Labopin-Richard Fabrice Gamboa Aurélien Garivier Bertrand Iooss 33 5 0 26 May 2014
Quasi-Hadamard differentiability of general risk functionals and its application Volker Krätschmer A. Schied Henryk Zähle 80 18 0 14 Jan 2014