Osband’s principle for identification functions
Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical estimation and dynamic modelling. For a possibly v...
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| Main Authors: | , , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
22 March 2023
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| In: |
Statistical papers
Year: 2023, Pages: 1-8 |
| ISSN: | 1613-9798 |
| DOI: | 10.1007/s00362-023-01428-x |
| Online Access: | Verlag, kostenfrei, Volltext: https://doi.org/10.1007/s00362-023-01428-x Verlag, kostenfrei, Volltext: https://doi.org/https://link.springer.com/article/10.1007/s00362-023-01428-x 
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| Author Notes: | Timo Dimitriadis, Tobias Fissler, Johanna Ziegel |
| Summary: | Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical estimation and dynamic modelling. For a possibly vector-valued functional of interest, we fully characterise the class of (strict) identification functions subject to mild regularity conditions. |
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| Item Description: | Online veröffentlicht am 22. März 2023 Gesehen am 01.08.2023 |
| Physical Description: | Online Resource |
| ISSN: | 1613-9798 |
| DOI: | 10.1007/s00362-023-01428-x |