Van Dantzig Seminar

nationwide series of lectures in statistics

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Van Dantzig Seminar: 2 June 2017

Programme: (click names or scroll down for titles and abstracts)

14:00 - 14:05 Opening
14:05 - 15:05 Elisabeth Gassiat (Université Paris-Sud)
15:05 - 15:25 Break
15:25 - 16:25 Johanna Ziegel (University of Bern)
16:30 - 17:30 Reception
Location: Leiden University, Snellius Building, Room 405 (Directions)

Titles and abstracts

  • Elisabeth Gassiat

    Inference in non parametric hidden Markov models

    In this talk, I will review recent results on hidden Markov models with finite state space and non parametric modeling of the emission distributions. I will explain how identifiability can be obtained from the distribution of 2 consecutive observations when the emission distributions are translated from an unknown one, and from 3 consecutive observations in the general situation. I will show generic methods to build non parametric adaptive estimators and solve the inverse problem.

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  • Johanna Ziegel

    Higher order elicitability

    Elicitability of a statistical functional means that it can be obtained as the minimizer of an expected loss function. Prime examples of elicitable functionals are the mean or quantiles of a random variable. Elicitability is a useful property for model selection, generalized regression, forecast comparison, and forecast ranking. Independently, Weber (2006, Mathematical Finance) and Gneiting (2011, JASA) have shown that expected shortfall (ES), an important risk measure in banking and finance, is not elicitable. However, it turns out that ES is jointly elicitable with a certain quantile, that is, it is elicitable of second order.
    In this talk, we present our results on higher order elicitability of ES and some other functionals, and we provide characterizations of the associated classes of consistent scoring functions. We illustrate the usefulness of scoring functions for backtesting and model selection.

    Joint work with: Tobias Fissler, Tilmann Gneiting, Alexander Jordan, Fabian Krüger, Natalia Nolde

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Supported by

BTK, Amsterdam 2017