Osband's Principle for Identification Functions

08/16/2022

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by   Timo Dimitriadis, et al.

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Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identification functions are key objects in forecast validation, statistical estimation and dynamic modelling. For a possibly vector-valued functional of interest, we fully characterise the class of (strict) identification functions subject to mild regularity conditions.