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Journal of the Royal Statistical Society Series B (Statistical Methodology)
Article . 2021 . Peer-reviewed
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https://dx.doi.org/10.5445/ir/...
Article . 2021
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https://dx.doi.org/10.48550/ar...
Article . 2019
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Isotonic Distributional Regression

Authors: Henzi, Alexander; Ziegel, Johanna F.; Gneiting, Tilmann;

Isotonic Distributional Regression

Abstract

AbstractIsotonic distributional regression (IDR) is a powerful non-parametric technique for the estimation of conditional distributions under order restrictions. In a nutshell, IDR learns conditional distributions that are calibrated, and simultaneously optimal relative to comprehensive classes of relevant loss functions, subject to isotonicity constraints in terms of a partial order on the covariate space. Non-parametric isotonic quantile regression and non-parametric isotonic binary regression emerge as special cases. For prediction, we propose an interpolation method that generalizes extant specifications under the pool adjacent violators algorithm. We recommend the use of IDR as a generic benchmark technique in probabilistic forecast problems, as it does not involve any parameter tuning nor implementation choices, except for the selection of a partial order on the covariate space. The method can be combined with subsample aggregation, with the benefits of smoother regression functions and gains in computational efficiency. In a simulation study, we compare methods for distributional regression in terms of the continuous ranked probability score (CRPS) and L2 estimation error, which are closely linked. In a case study on raw and post-processed quantitative precipitation forecasts from a leading numerical weather prediction system, IDR is competitive with state of the art techniques.

Countries
Switzerland, Switzerland, Germany
Keywords

ddc:510, Methodology (stat.ME), FOS: Computer and information sciences, 510 Mathematics, FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST), Mathematics, info:eu-repo/classification/ddc/510, Statistics - Methodology, 510

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    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
36
Top 10%
Top 10%
Top 10%
Green
hybrid