Is the mode elicitable relative to unimodal distributions?
Claudio Heinrich-Mertsching,
Tobias Fissler
Abstract:Statistical functionals are called elicitable if there exists a loss or scoring function under which the functional is the optimal point forecast in expectation. While the mean and quantiles are elicitable, it has been shown in Heinrich ( 2014) that the mode cannot be elicited if the true distribution can follow any Lebesgue density. We strengthen this result substantially, showing that the mode cannot be elicited if the true distribution can be any distribution with continuous Lebesgue density and unique loca… Show more
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