1 code implementation • 29 Nov 2022 • Malte Knüppel, Fabian Krüger, Marc-Oliver Pohle
Calibration tests based on the probability integral transform (PIT) are routinely used to assess the quality of univariate distributional forecasts.
1 code implementation • 24 Oct 2022 • Fabian Krüger, Hendrik Plett
The fixed-event forecasting setup is common in economic policy.
1 code implementation • 21 Apr 2022 • Oliver Grothe, Fabian Kächele, Fabian Krüger
Modeling price risks is crucial for economic decision making in energy markets.
1 code implementation • 14 Sep 2017 • Alexander Jordan, Fabian Krüger, Sebastian Lerch
Probabilistic forecasts in the form of probability distributions over future events have become popular in several fields including meteorology, hydrology, economics, and demography.
Computation Applications
no code implementations • 24 Aug 2016 • Fabian Krüger, Sebastian Lerch, Thordis L. Thorarinsdottir, Tilmann Gneiting
Based on proper scoring rules, we develop a notion of consistency that allows to assess the adequacy of methods for estimating the stationary distribution underlying the simulation output.
Methodology
no code implementations • 27 Mar 2015 • Werner Ehm, Tilmann Gneiting, Alexander Jordan, Fabian Krüger
We show that any scoring function that is consistent for a quantile or an expectile functional, respectively, can be represented as a mixture of extremal scoring functions that form a linearly parameterized family.