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arXiv · 2208.07685

Osband's Principle for Identification Functions

Timo Dimitriadis·Tobias Fissler·Johanna Ziegel
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Abstract

Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical estimation and dynamic modelling. For a possibly vector-valued functional of interest, we fully characterise the class of (strict) identification functions subject to mild regularity conditions.

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Timo Dimitriadis, Tobias Fissler, Johanna Ziegel. 2022-08-16. Osband's Principle for Identification Functions. https://doi.org/10.1007/s00362-023-01428-x

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