The paper derives non-asymptotic oracle inequalities for CRPS-based model fitting, model selection, and convex aggregation in distributional regression.
Similarly, ˆθn = arg minθ∈Θ ˆRn(Fθ) is well defined
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Distributional regression: CRPS-error bounds for model fitting, model selection and convex aggregation
The paper derives non-asymptotic oracle inequalities for CRPS-based model fitting, model selection, and convex aggregation in distributional regression.