Auto-Calibration Tests for Discrete Finite Regression Functions
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| Accesso online: | |
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| _version_ | 1866913465802686464 |
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| author | Wüthrich, Mario V. |
| author_facet | Wüthrich, Mario V. |
| contents | Auto-calibration is an important property of regression functions for actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al.~(2024) recently published a test with an asymptotic distribution that is not fully explicit and its evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_05993 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Auto-Calibration Tests for Discrete Finite Regression Functions Wüthrich, Mario V. Statistics Theory Auto-calibration is an important property of regression functions for actuarial applications. Comparably little is known about statistical testing of auto-calibration. Denuit et al.~(2024) recently published a test with an asymptotic distribution that is not fully explicit and its evaluation needs non-parametric Monte Carlo sampling. In a simpler set-up, we present three test statistics with fully known and interpretable asymptotic distributions. |
| title | Auto-Calibration Tests for Discrete Finite Regression Functions |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2408.05993 |