Quantiles as optimal point forecasts
Loss functions play a central role in the theory and practice of forecasting. If the loss function is quadratic, the mean of the predictive distribution is the unique optimal point predictor. If the loss is symmetric piecewise linear, any median is an optimal point forecast. Quantiles arise as optim...
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| Main Author: | |
|---|---|
| Format: | Article (Journal) |
| Language: | English |
| Published: |
2011
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| In: |
International journal of forecasting
Year: 2011, Volume: 27, Issue: 2, Pages: 197-207 |
| ISSN: | 0169-2070 |
| DOI: | 10.1016/j.ijforecast.2009.12.015 |
| Online Access: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1016/j.ijforecast.2009.12.015 Verlag, lizenzpflichtig, Volltext: https://www.sciencedirect.com/science/article/pii/S0169207010000063 
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| Author Notes: | Tilmann Gneiting |
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