Search Results - subject:"calibration."

"Calibeating": beating forecasters at their own game

Foster, Dean P.; Hart, Sergiu - In: Theoretical Economics 18 (2023) 4, pp. 1441-1474

In order to identify expertise, forecasters should not be tested by their calibration score, which can always be made … arbitrarily small, but rather by their Brier score. The Brier score is the sum of the calibration score and the refinement score … the question of whether one can gain calibration without losing expertise, which we refer to as “calibeating.” We provide …

Persistent link: https://www.econbiz.de/10014536942

Estimation of probabilities for ordered sets and application to calibration of rating models

Serenelli, Gustavo F.; Delfau, Emiliano - 2023

several practical applications such as calibration of Rating Models, estimation of Mortality Tables or measurement of side …

Persistent link: https://www.econbiz.de/10014546045

Analysing quantiles in models of forward term rates

McWalter, Thomas A.; Schlögl, Erik; Van Appel, Jacques - In: Risks : open access journal 11 (2023) 2, pp. 1-18

-dated forward rates, particularly for maturities and tenors beyond the liquid market calibration instruments. This paper presents a …

Persistent link: https://www.econbiz.de/10014233216

Wealth survey calibration using income tax data

Kolar, Daniel - 2023

Persistent link: https://www.econbiz.de/10014428578

Calibration of storage model by multi-stage statistical and machine learning methods

Karimi, Nader; Assa, Hirbod; Salavati, Erfan; Adibi, … - In: Computational economics 62 (2023) 4, pp. 1437-1455

Persistent link: https://www.econbiz.de/10014437372

"Calibeating" : beating forecasters at their own game

Foster, Dean P.; Hart, Sergiu - In: Theoretical economics : TE ; an open access journal in … 18 (2023) 4, pp. 1441-1474

To identify expertise, forecasters should not be tested by their calibration score, which can always be made … arbitrarily small, but rather by their Brier score. The Brier score is the sum of the calibration score and the refinement score … the question of whether one can gain calibration without losing expertise, which we refer to as “calibeating.” We provide …

Persistent link: https://www.econbiz.de/10014440068

Automated calibration training for forecasters

Stone, Eric R.; Luu, Jason; Costello, Cory K.; … - In: Journal of behavioral decision making 36 (2023) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10014337231

Asymmetric short-rate model without lower bound

Vrins, Frédéric; Wang, Linqi - In: Quantitative finance 23 (2023) 2, pp. 279-295

Persistent link: https://www.econbiz.de/10014232631

Benchmarking global optimizers

Arnoud, Antoine; Guvenen, Fatih; Kleineberg, Tatjana - 2023

Persistent link: https://www.econbiz.de/10014456665

Osband’s principle for identification functions

Dimitriadis, Timo; Fissler, Tobias; Ziegel, Johanna - In: Statistical Papers 65 (2023) 2, pp. 1125-1132

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...

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