Consistent scoring functions for quantiles

DOI10.1214/12-IMSCOLL912MaRDI QIDQ5499686zbMATH OpenOpenAlexFDO

Authors Kyrill Grant, Tilmann Gneiting

Publication date 30 July 2015

Published in Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/12-imscoll912

zbMATH Keywords

quantileBayes ruleproper scoring rulefractileconsistent scoring functionoptimal point forecast

Mathematics Subject Classification ID

Decision theory (91B06) General considerations in statistical decision theory (62C05)

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• Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. With discussion and authors' reply
• Quantile predictions for elliptical random fields

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