Osband’s principle for identification functions

Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical estimation and dynamic modelling. For a possibly vector-valued functional of interest, we fully characterise the class of (strict) identification functions subject to mild regularity conditions.

MoreLess

Year of publication:	2023
Authors:	Dimitriadis, Timo ; Fissler, Tobias ; Ziegel, Johanna
Published in:	Statistical Papers. - Berlin, Heidelberg : Springer, ISSN 1613-9798. - Vol. 65.2023, 2, p. 1125-1132
Publisher:	Berlin, Heidelberg : Springer
Subject:	Calibration \| Characterisation \| Identification function \| Point forecasts \| Z-estimation

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s00362-023-01428-x [DOI]
Source:	EconStor

Persistent link: https://www.econbiz.de/10015328817