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Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings

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  • Werner Ehm
  • Tilmann Gneiting
  • Alexander Jordan
  • Fabian Krüger

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  • Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:3:p:505-562
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