Title: Testing for auto-calibration
Authors: Michel Denuit - Universite catholique de Louvain (Belgium)
Julie Huyghe - Universite Libre de Bruxelles (Belgium)
Julien Trufin - Universite libre de Bruxelles (Belgium)
Thomas Verdebout - Universite Libre de Bruxelles (Belgium)
Julien Trufin - Université Libre de Bruxelles (Belgium) [presenting]
Abstract: Dominance relations and diagnostic tools based on Lorenz and Concentration curves have been previously proposed to compare competing regression function estimators. This approach turns out to be equivalent to forecast dominance when the estimators under consideration are auto-calibrated. A new characterization of auto-calibration is established, based on the graphs of Lorenz and Concentration curves. This result is exploited to propose an effective testing procedure for auto-calibration. A simulation study is conducted to evaluate its performance, and its relevance for practice is demonstrated on a real data set.