Prof. Dr. Johanna Ziegel
Higher Order Elicitability
Was |
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Wann |
26.01.2018 von 12:00 bis 13:00 |
Wo | Eckerstraße 1, Raum 404, 4. OG |
Termin übernehmen |
vCal iCal |
Elicitability of a statistical functional means that it can be obtained
as the minimizer of an expected loss function. Such a loss function
leads to a natural way of forecast comparison or model selection, and
allows for M-estimation and generalized regression.
Prime
examples of elicitable functionals are the mean or quantiles of a random
variable. Independently, Weber (2006, Mathematical Finance) and
Gneiting (2011, JASA) have shown that expected shortfall (ES), an
important risk measure in banking and finance, is not elicitable.
However, it turns out that ES is jointly elicitable with a certain
quantile, that is, it is elicitable of second order.
In this
talk, we present our results on higher order elicitability of ES and
some other functionals, and we provide characterizations of the
associated classes of consistent scoring functions. We illustrate the
usefulness of scoring functions for forecast comparison.