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Minimum Scoring Rule Inference

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  • A. Philip Dawid
  • Monica Musio
  • Laura Ventura

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  • A. Philip Dawid & Monica Musio & Laura Ventura, 2016. "Minimum Scoring Rule Inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 123-138, March.
    • Handle: RePEc:bla:scjsta:v:43:y:2016:i:1:p:123-138
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    File URL: http://hdl.handle.net/10.1111/sjos.12168
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    References listed on IDEAS

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    1. Cristiano Varin, 2008. "On composite marginal likelihoods," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(1), pages 1-28, February.
    2. G. Adimari & L. Ventura, 2002. "Quasi-Profile Log Likelihoods for Unbiased Estimating Functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 235-244, June.
    3. Alexander Dawid & Monica Musio, 2014. "Theory and applications of proper scoring rules," METRON, Springer;Sapienza Università di Roma, vol. 72(2), pages 169-183, August.
    4. Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
    5. A. Dawid & Monica Musio, 2013. "Estimation of spatial processes using local scoring rules," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(2), pages 173-179, April.
    6. Bruce Lindsay & Ramani Pilla & Prasanta Basak, 2000. "Moment-Based Approximations of Distributions Using Mixtures: Theory and Applications," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(2), pages 215-230, June.
    7. Cao, Ricardo & Cuevas, Antonio & Fraiman, Ricardo, 1995. "Minimum distance density-based estimation," Computational Statistics & Data Analysis, Elsevier, vol. 20(6), pages 611-631, December.
    8. Fujisawa, Hironori & Eguchi, Shinto, 2008. "Robust parameter estimation with a small bias against heavy contamination," Journal of Multivariate Analysis, Elsevier, vol. 99(9), pages 2053-2081, October.
    9. A. Dawid, 2007. "The geometry of proper scoring rules," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(1), pages 77-93, March.
    10. D. R. Cox, 2004. "A note on pseudolikelihood constructed from marginal densities," Biometrika, Biometrika Trust, vol. 91(3), pages 729-737, September.
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    Cited by:

    1. Catania, Leopoldo & Luati, Alessandra, 2020. "Robust estimation of a location parameter with the integrated Hogg function," Statistics & Probability Letters, Elsevier, vol. 164(C).
    2. R de Fondeville & A C Davison, 2018. "High-dimensional peaks-over-threshold inference," Biometrika, Biometrika Trust, vol. 105(3), pages 575-592.
    3. Raphaël de Fondeville & Anthony C. Davison, 2022. "Functional peaks‐over‐threshold analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1392-1422, September.
    4. F. Giummolè & V. Mameli & E. Ruli & L. Ventura, 2019. "Objective Bayesian inference with proper scoring rules," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(3), pages 728-755, September.
    5. Jack Jewson & David Rossell, 2022. "General Bayesian loss function selection and the use of improper models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1640-1665, November.
    6. Paolo Vidoni, 2021. "Boosting multiplicative model combination," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 761-789, September.
    7. Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation In Extreme Value Regression Models Of Hedge Fund Tail Risks," Working Papers hal-04090916, HAL.
    8. Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks," Papers 2304.06950, arXiv.org.

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