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METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20221017T101353Z
DTSTART:20221109T140000Z
DTEND:20221109T150000Z
SUMMARY:Xiaochun Meng - Scores for Multivariate Distributions and Level
Sets (in person stat seminar)
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}u7t-l7t6qth
d-wuugep
DESCRIPTION:Xiaochun Meng\, lecturer in Finance at the University of Suss
ex Business School is our speaker for the Statistics seminar series.\n\n
Title: Scores for Multivariate Distributions and Level Sets\n\nAbstract:
Forecasts of multivariate probability distributions are required for a
variety of applications. Scoring rules enable the evaluation of forecas
t accuracy\, and comparison between forecasting methods. We propose a th
eoretical framework for scoring rules for multivariate distributions\, w
hich encompasses the existing quadratic score and multivariate continuou
s ranked probability score. We demonstrate how this framework can be use
d to generate new scoring rules. In some multivariate contexts\, it is a
forecast of a level set that is needed\, such as a density level set fo
r anomaly detection or the level set of the cumulative distribution as a
measure of risk. This motivates consideration of scoring functions for
such level sets. For univariate distributions\, it is well-established t
hat the continuous ranked probability score can be expressed as the inte
gral over a quantile score. We show that\, in a similar way\, scoring ru
les for multivariate distributions can be decomposed to obtain scoring f
unctions for level sets. Using this\, we present scoring functions for d
ifferent types of level set\, including density level sets and level set
s for cumulative distributions. To compute the scores\, we propose a sim
ple numerical algorithm. We use a simulation study to support our propos
als\, and we use real data to illustrate usefulness for forecast combini
ng and CoVaR applications.\n\n\nVenue:\nFrank Adams Seminar Room 2 \nAla
n Turing Building \nManchester\nM13 9PL
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Frank Adams Seminar Room 2 \, Alan Turing Building \, Upper Broo
k street\, Manchester\, M13 9PL
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