Irrational Exuberance: Correcting Bias in Probability Estimates

We consider the common setting where one observes probability estimates for a large number of events, such as default risks for numerous bonds. Unfortunately, even with unbiased estimates, selecting events corresponding to the most extreme probabilities can result in systematically underestimating t...

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Veröffentlicht in:	Journal of the American Statistical Association 2022-01, Vol.117 (537), p.455-468
Hauptverfasser:	James, Gareth M., Radchenko, Peter, Rava, Bradley
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian analysis Bias Empirical analysis Empirical Bayes Estimates Excess certainty Extreme values Probability Regression analysis Selection bias Statistical methods Statistics Tweedie's formula Uncertainty
Online-Zugang:	Volltext
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