Tweedie dominance for autocalibrated predictors and Laplace transform order

Denuit, Michel;Trufin, Julien
(2022) , 8 pages

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While Krüger and Ziegel (2021) defined forecast dominance, or Bregman dominance as dominance for every Bregman loss function, this short note explores Tweedie dominance proposed by Denuit et al. (2021) to compare competing models. A necessary and sufficient condition is established under autocalibration. Moreover, Laplace transform order turns out to be a sufficient condition for Tweedie dominance between autocalibrated predictors. This shows that Tweedie dominance is a rather weak concept compared to Bregman dominance that reduces to the well-known convex order among autocalibrated predictors.
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Denuit, M., & Trufin, J. (2022). Tweedie dominance for autocalibrated predictors and Laplace transform order (LIDAM Discussion Paper ISBA 2022/40). https://hdl.handle.net/2078.5/106352