Erratum: Higher order elicitability and Osband's principle.
File(s)
OA Location
Author(s)
Fissler, Tobias
Ziegel, Johanna
Type
Working Paper
Abstract
This note corrects conditions in Proposition 3.4 and Theorem 5.2(ii) and comments on imprecisions in Propositions 4.2 and 4.4 in Fissler and Ziegel (2016).
Date Issued
2019-01-28
Citation
2019
Publisher
arXiv
Identifier
http://www.imperial.ac.uk/people/t.fissler
Subjects
Consistency
decision theory
elicitability
Expected Shortfall
point forecasts
propriety
scoring functions
scoring rules
spectral risk measures
Value at Risk
Publication Status
Published