Consistent scoring functions for quantiles

DOI10.1214/12-IMSCOLL912zbMATH Open1327.62035OpenAlexW1484387278MaRDI QIDQ5499686FDOQ5499686

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

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zbMATH Keywords

quantileBayes ruleproper scoring rulefractileconsistent scoring functionoptimal point forecast

Mathematics Subject Classification ID

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

Cited In (3)

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

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