We are pleased to announce and invite you to the public habilitation lecture and habilitation colloquium of Dr. Tobias Fissler which closes this semester’s Research Seminar Series:

Tobias Fissler (RiskLab, Department of Mathematics, ETH Zurich)
Spotlights on the Theory of Elicitability

Friday, June 30, 2023, 11:30 am, Building TC, Room TC.3.01

Abstract:
After a general introduction into the role of loss functions in statistical learning and forecast evaluation following Fissler, Lorentzen, Mayer (2022), I will recall and develop some necessary and sufficient conditions for elicitability, which is the crucial condition of consistent M-estimation (Dimitriadis, Fissler, Ziegel, 2023). In particular, I will talk about the necessity of the convex level set property and its failure of being sufficient, which is exemplified by the negative results on the mode (Heinrich-Mertsching and Fissler, 2021). Moreover, I will talk about mitigation strategies for linear combinations of so-called Bayes risks, exemplified in the paper on Range Value at Risk (Fissler and Ziegel, 2021). Finally, I will consider extensions of the theory to set-valued functionals, elaborated in Fissler, Frongillo, Hlavinova and Rudloff (2021).

Please note the change of time and location (“spacetime”) for this talk.
We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

Please also see the numerous references linked on our website:
www.wu.ac.at/en/statmath/research/resseminar