3 code implementations • 9 Sep 2019 • Alexander Henzi, Johanna F. Ziegel, Tilmann Gneiting
Isotonic distributional regression (IDR) is a powerful nonparametric technique for the estimation of conditional distributions under order restrictions.
Methodology Statistics Theory Statistics Theory
no code implementations • 22 Aug 2018 • Ruodu Wang, Johanna F. Ziegel
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management.
no code implementations • 14 Dec 2017 • Ingo Steinwart, Johanna F. Ziegel
Strictly proper kernel scores are well-known tool in probabilistic forecasting, while characteristic kernels have been extensively investigated in the machine learning literature.