Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions
Year of publication: |
2021
|
---|---|
Authors: | Yen, Yu-min ; Yen, Tso-Jung |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 37.2021, 2, p. 733-758
|
Subject: | Consistent loss function | Expectile | Extremal consistent loss function | Forecast | Quantile | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
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