On Higher Order Elicitability and Some Limit Theorems on the Poisson and Wiener Space

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Title: On Higher Order Elicitability and Some Limit Theorems on the Poisson and Wiener Space
Authors: Fissler, T
Item Type: Thesis
Abstract: This PhD thesis consists of two independent parts. The first one is dedicated to a thorough study of higher order elicitability whereas the second part is concerned with qualitative and quantitative limit theorems for Poisson and Gaussian functionals. It comprises a total number of four articles, three of them already published in peer-reviewed journals (Annals of Statistics, Risk Magazine, and ALEA), the fourth one in a preprint version. The articles are accompanied by detailed additional material, primarily concerning questions of order-sensitivity, order-preservingness and convexity of strictly consistent scoring functions.
Editors: Ziegel, JF
Issue Date: 10-Apr-2017
URI: http://hdl.handle.net/10044/1/54201
Copyright Statement: © 2017 The Author
Conference Name: University of Bern
Keywords: Consistency
Decision Theory
Elicitability
Expected Shortfall
Point Forecasts
Propriety
Scoring Functions
Scoring Rules
Value at Risk
Backtesting
Order-Sensitivity
Convexity
Equivariance
Fourth moment theorem
Multiple stochastic integrals
Stein's Method
Malliavin Calculus
Wiener Chaos
Quantitative Limit Theorem
Open Access location: http://www.zb.unibe.ch/download/eldiss/17fissler_t.pdf
Appears in Collections:Statistics
Faculty of Natural Sciences



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