Isotonic regression for elicitable functionals and their Bayes risk
نویسندگان
چکیده
We study the non-parametric isotonic regression problem for bivariate elicitable functionals that are given as an univariate functional and its Bayes risk. Prominent examples of this type (mean, variance) (Value-at-Risk, Expected Shortfall), where latter pair consists important risk measures in finance. present our results totally ordered covariates but extenstions to partial orders appendix.
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2022
ISSN: ['1935-7524']
DOI: https://doi.org/10.1214/22-ejs2034