Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
分位数与期望分位数：一致评分函数、Choquet 表示与预测排序
Summary In the practice of point prediction, it is desirable that forecasters receive a directive in the form of a statistical functional. For example, forecasters might be asked to report the mean or a quantile of their predictive distributions. When evaluating and comparing competing forecasts, it is then critical that the scoring function used for these purposes be consistent for the functional at hand, in the sense that the expected score is minimized when following the…