Tweedie dominance for autocalibrated predictors and Laplace transform order

Michel Denuit () and Julien Trufin ()
Additional contact information
Michel Denuit: Université catholique de Louvain, LIDAM/ISBA, Belgium
Julien Trufin: ULB

No 2022040, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: While Krüger and Ziegel (2021) defined forecast dominance, or Bregman dominance as dominance for every Bregman loss function, this short note explores Tweedie dominance proposed by Denuit et al. (2021) to compare competing models. A necessary and sufficient condition is established under autocalibration. Moreover, Laplace transform order turns out to be a sufficient condition for Tweedie dominance between autocalibrated predictors. This shows that Tweedie dominance is a rather weak concept compared to Bregman dominance that reduces to the well-known convex order among autocalibrated predictors.

Keywords: Tweedie distribution family; Autocalibrated models; Tweedie dominance; Laplace transform order (search for similar items in EconPapers)
Pages: 8
Date: 2022-11-26
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/en/object/bore ... tastream/PDF_01/view (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2022040

Access Statistics for this paper

More papers in LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().