IDEAS home Printed from https://ideas.repec.org/a/oup/biomet/v109y2022i4p1157-1164..html
   My bibliography  Save this article

Is the mode elicitable relative to unimodal distributions?
[Inflation report: August 2019. Monetary Policy Committee, Bank of England, London]

Author

Listed:
  • Claudio Heinrich-Mertsching
  • Tobias Fissler

Abstract

SummaryA statistical functional is said to be elicitable if there exists a loss or scoring function under which the functional is the optimal point forecast in expectation. While the mean and quantiles are elicitable, it has been shown in Heinrich (2014) that the mode is not elicitable if the true distribution can follow any Lebesgue density. We strengthen the result of Heinrich (2014) substantially, showing that the mode is not elicitable if the true distribution can be any strongly unimodal distribution with continuous Lebesgue density, i.e., a continuous density with only one local maximum. Likewise, the mode fails to be identifiable relative to this class.

Suggested Citation

  • Claudio Heinrich-Mertsching & Tobias Fissler, 2022. "Is the mode elicitable relative to unimodal distributions? [Inflation report: August 2019. Monetary Policy Committee, Bank of England, London]," Biometrika, Biometrika Trust, vol. 109(4), pages 1157-1164.
    • Handle: RePEc:oup:biomet:v:109:y:2022:i:4:p:1157-1164.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/biomet/asab065
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:biomet:v:109:y:2022:i:4:p:1157-1164.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://academic.oup.com/biomet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.