Gneiting, Tilmann - In: International Journal of Forecasting 27 (2011) 2, pp. 197-207
mean of the predictive distribution is the unique optimal point predictor. If the loss is symmetric piecewise linear, any … relevant loss functions, which nests the asymmetric piecewise linear loss, and which we refer to as generalized piecewise … linear (GPL). The level of the quantile depends on a generic asymmetry parameter which reflects the possibly distinct costs …