Proper Scoring Rules intermediate
A probability forecast is only as useful as the score that judges it: the right score rewards honest beliefs, while the wrong one rewards distortion.
A probability forecast is only as useful as the score that judges it: the right score rewards honest beliefs, while the wrong one rewards distortion.
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References
Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
Peter Cotton
(2024)
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R. E. Kalman
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Making and Evaluating Point Forecasts
Tilmann Gneiting
— Journal of the American Statistical Association
Machine Learning for Probabilistic Prediction (PhD thesis, VALERY MANOKHIN)
Valery Manokhin
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
Ivo Welch, Amit Goyal
(2008)
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
Suzanne S. Lee, Per A. Mykland
(2008)
Measuring Calibration in Deep Learning
Jeremy Nixon, Michael W Dusenberry, Linchuan Zhang, Ghassen Jerfel, Dustin Tran