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
Expected Shortfall
Point Forecasts
Scoring Functions
Scoring Rules
Value at Risk
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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