Auto-Calibration Tests for Discrete Finite Regression Functions
Abstract
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.
- Publication:
-
arXiv e-prints
- Pub Date:
- August 2024
- DOI:
- 10.48550/arXiv.2408.05993
- arXiv:
- arXiv:2408.05993
- Bibcode:
- 2024arXiv240805993W
- Keywords:
-
- Mathematics - Statistics Theory