Statistical Inference for Score Decompositions
预测评分分解的统计推断AI 解读 ↓
本页整理公开书目信息,不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成,未完成全文核验,可能有误;具体假设、证明与结论请核对原文。摘要保留来源文本,未经模型改写。
DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要;缺少可靠材料时保留待补状态。
本页为预印本版本;arXiv 收录、作者填写的期刊信息以及作者既有发表经历,都不单独证明本篇已接收。作者发表记录按 OpenAlex 身份与完整姓名、本站覆盖期刊 ISSN 及正式卷期核对,只展示已核实例,档案仍可能误合并。
引用量采用 OpenAlex 单条关联记录,不合计多个记录;关联记录可能包含正式发表版本,不等于此版本单独引用。缺失不视为零,引用指标不代表论文质量。
关注作者按书目中的完整姓名匹配,同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列,再参考通用方法与发表日期。
AI 根据所提供的论文材料归类:摘要明确应用于调查通胀预测、波动率预测和风险价值预测,分别对应宏观预测、波动率与尾部风险。
预测评分分解的统计推断AI 解读 ↓
正在核对关联版本…
正在核对对应版本的资源…
We introduce inference methods for score decompositions, which partition scoring functions for predictive assessment into three interpretable components: miscalibration, discrimination, and uncertainty. Our estimation and inference relies on a linear recalibration of the forecasts and is applicable to general point forecasts such as means and quantiles due to its validity for non-smooth scoring functions. This approach ensures non-negative decomposition terms in finite samples, enables asymptotic inference under model misspecification, and establishes a direct connection to the classical Mincer-Zarnowitz regression. The resulting inference framework facilitates novel tests for equal linearized forecast calibration or discrimination, which yield three key advantages. They enhance the information content of predictive ability tests by decomposing scores, can improve detection power in scenarios where predictive differences are attributable to specific score components, and formally connect scoring-function-based evaluation to traditional calibration tests, such as financial backtests. Applications demonstrate the method's utility. We find that for survey inflation forecasts, discrimination abilities can differ significantly even when overall predictive ability does not. In an application to financial risk models, our tests provide deeper insights into the calibration and information content of volatility and Value-at-Risk forecasts. By disentangling forecast accuracy from backtest performance, the method exposes critical shortcomings in current banking regulation.
具有不同时间变动波动率设定的贝叶斯多元分位数回归
This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of energy commodities, where the homoskedasticity assumption is relaxed to allow for time-varying volatility. In particular, we exploit the mixture representation of the multivariate asymmetric Laplace likelihood and the Cholesky-type decomposition of the scale matrix to introduce stochastic volatility and GARCH processes and then provide an efficient MCMC to estimate them.…
利用已知但不完善的模型改进预测
Many important economic decisions are based on a parametric forecasting model that is known to be good but imperfect. We propose methods to improve out-of-sample forecasts from a misspecified model by estimating its parameters using a form of local M estimation (thereby nesting local OLS and local MLE), drawing on information from a state variable that is correlated with the misspecification of the model. We theoretically consider the forecast environments in which our…
FARS:R 中的因子增广回归情景分析
In the context of macroeconomic/financial time series, the FARS package provides a comprehensive framework in R for the construction of conditional densities of the variable of interest based on the factor-augmented quantile regressions (FA-QRs) methodology, with the factors extracted from multi-level dynamic factor models (ML-DFMs) with potential overlapping group-specific factors. Furthermore, the package also allows the construction of measures of risk as well as modeling…
基于分位数的金融收益尺度动态建模与 VaR、ES 预测
We introduce a semiparametric approach for forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) by modeling the conditional scale of financial returns, defined as the difference between two specified quantiles, via restricted quantile regression. Focusing on downside risk, VaR is derived from the left-tail quantile of rescaled returns, and ES is approximated by averaging quantiles below the VaR level. The method delivers robust, distribution-free estimates of extreme…
利用文本数据的因子分位数预测
ABSTRACT Words matter for predicting tail risks. We propose an attention mechanism embedded in a quantile factor model, yielding information that is quantile‐specific, target‐specific, and horizon‐specific. We establish new asymptotic results and show empirically that targeted textual data improve quantile forecasts of exchange‐rate returns and industrial production growth relative to strong benchmarks and other conditional‐quantile models. Bigrams and trigrams drive these…
同质结构下的面板分位数 GARCH 模型
Empirical evidence indicates that the estimates of GARCH parameters cluster in a panel of financial assets, potentially due to assets with similar exposure to common market risks. To capture the subgroup effect on conditional quantiles of financial asset returns and improve estimation efficiency by pooling information across individuals within the same group, this article introduces the panel quantile GARCH model with homogeneous structures in the coefficient functions. A…