Timo Dimitriadis, Tobias Fissler, Johanna Ziegel
arXiv 17 Aug 2022 · Mathematics — Statistics Theory · publishedBiometrika (2023) · 14 citations (OpenAlex)
arXiv:2208.08108 · PDF · DOI · OpenAlex · Extracted main text
We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evaluation with the theory of M-estimation. This novel characterization result opens up the possibility for theoretical research on efficient and equivariant M-estimation and, more generally, it allows to leverage existing results on loss functions known from the literature of forecast evaluation in estimation theory.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gneiting, T (2011) Making and evaluating point forecasts | 1.000 | 5 | 3 | 100% |
| 2 | Fissler, T. and Ziegel, J. F (2016) Higher order elicitability and Osband's principle self | 0.928 | 4 | 3 | 100% |
| 3 | Gourieroux, C., Monfort, A., and Renault, E (1987) Consistent M-estimators in a semi-parametric model | 0.843 | 5 | 4 | 60% |
| 4 | Newey, W. K. and McFadden, D (1994) Large sample estimation and hypothesis testing | 0.794 | 6 | 5 | 50% |
| 5 | Patton, A. J., Ziegel, J. F., and Chen, R (2019) Dynamic semiparametric models for expected shortfall (and value-at-risk) self | 0.737 | 3 | 2 | 100% |
| 6 | Huber, P. J (1967) The behavior of maximum likelihood estimates under nonstandard conditions | 0.644 | 2 | 2 | 100% |
| 7 | Nolde, N. and Ziegel, J. F (2017) Elicitability and backtesting: Perspectives for banking regulation self | 0.585 | 3 | 3 | 33% |
| 8 | Barendse, S (2022) Efficiently weighted estimation of tail and interquartile expectations | 0.405 | 1 | 1 | 100% |
| 9 | Bollerslev, T (1986) Generalized autoregressive conditional heteroskedasticity | 0.405 | 1 | 1 | 100% |
| 10 | Chamberlain, G (1987) Asymptotic efficiency in estimation with conditional moment restrictions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 33 scored citations.