Quantiles as optimal point forecasts

[1]  Patrick E. McSharry,et al.  Quantile Forecasting of Wind Power Using Variability Indices , 2013 .

[2]  Reason L. Machete,et al.  Early Warning with Calibrated and Sharper Probabilistic Forecasts , 2011, 1112.6390.

[3]  M. Genton,et al.  Powering Up With Space-Time Wind Forecasting , 2010 .

[4]  J. Sonnemans,et al.  A Truth Serum for Non-Bayesians: Correcting Proper Scoring Rules for Risk Attitudes* , 2009 .

[5]  Robert L. Winkler,et al.  Evaluating Quantile Assessments , 2009, Oper. Res..

[6]  Quang Vuong,et al.  SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES , 2009, Econometric Theory.

[7]  Richard A. Davis,et al.  Handbook of Financial Time Series , 2009 .

[8]  Kevin Sheppard,et al.  Evaluating Volatility and Correlation Forecasts , 2009 .

[9]  Tilmann Gneiting,et al.  Editorial: Probabilistic forecasting , 2008 .

[10]  Henrik Madsen,et al.  Local linear regression with adaptive orthogonal fitting for the wind power application , 2008, Stat. Comput..

[11]  Andrew J. Patton,et al.  Testing Forecast Optimality Under Unknown Loss , 2007 .

[12]  Y. Ulu Optimal prediction under LINLIN loss: Empirical evidence , 2007 .

[13]  Andrew J. Patton,et al.  Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity , 2007 .

[14]  P. Pinson,et al.  Trading Wind Generation From Short-Term Probabilistic Forecasts of Wind Power , 2007, IEEE Transactions on Power Systems.

[15]  A. Raftery,et al.  Probabilistic forecasts, calibration and sharpness , 2007 .

[16]  A. Raftery,et al.  Strictly Proper Scoring Rules, Prediction, and Estimation , 2007 .

[17]  Kenneth C. Lichtendahl,et al.  Probability Elicitation, Scoring Rules, and Competition Among Forecasters , 2007, Manag. Sci..

[18]  Eric M. Aldrich,et al.  Calibrated Probabilistic Forecasting at the Stateline Wind Energy Center , 2006 .

[19]  Andrew J. Patton Volatility Forecast Comparison Using Imperfect Volatility Proxies , 2006 .

[20]  Francis X. Diebold,et al.  The Rodney L. White Center for Financial Research Financial Asset Returns, Direction-of-Change Forecasting and Volatility , 2003 .

[21]  Ismael Sánchez,et al.  Short-term prediction of wind energy production , 2006 .

[22]  Robert Elder,et al.  Assessing the Mpc's Fan Charts , 2005 .

[23]  Allan Timmermann,et al.  Estimation and Testing of Forecast Rationality under Flexible Loss , 2005 .

[24]  Ivana Komunjer,et al.  Quasi-maximum likelihood estimation for conditional quantiles , 2005 .

[25]  Xin Guo,et al.  On the optimality of conditional expectation as a Bregman predictor , 2005, IEEE Trans. Inf. Theory.

[26]  Allan Timmermann,et al.  Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? , 2008 .

[27]  Michael P. Clements,et al.  Evaluating the Bank of England Density Forecasts of Inflation , 2004 .

[28]  Allan Timmermann,et al.  Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions , 2002 .

[29]  Sudipta Basu,et al.  Loss Function Assumptions in Rational Expectations Tests on Financial Analysts' Earnings Forecasts , 2002 .

[30]  Moshe Shaked,et al.  The Newsvendor Game Has a Nonempty Core , 2002, Games Econ. Behav..

[31]  Marco Saerens,et al.  Building cost functions minimizing to some summary statistics , 2000, IEEE Trans. Neural Networks Learn. Syst..

[32]  Gérard P. Cachon,et al.  Decision Bias in the Newsvendor Problem with a Known Demand Distribution: Experimental Evidence.: Experimental Evidence. , 2000 .

[33]  Adrian F. M. Smith,et al.  Bayesian Statistics 5. , 1998 .

[34]  Anthony S. Tay,et al.  Evaluating Density Forecasts with Applications to Financial Risk Management , 1998 .

[35]  F. Diebold,et al.  Optimal Prediction Under Asymmetric Loss , 1994, Econometric Theory.

[36]  F. Diebold,et al.  Further results on forecasting and model selection under asymmetric loss , 1996 .

[37]  A. H. Murphy,et al.  Scoring rules and the evaluation of probabilities , 1996 .

[38]  L. Eeckhoudt,et al.  The Risk-Averse and Prudent Newsboy , 1995 .

[39]  W. Newey,et al.  Asymmetric Least Squares Estimation and Testing , 1987 .

[40]  Y. Dodge on Statistical data analysis based on the L1-norm and related methods , 1987 .

[41]  C. Granger,et al.  Forecasting Economic Time Series. , 1988 .

[42]  A. Zellner Bayesian Estimation and Prediction Using Asymmetric Loss Functions , 1986 .

[43]  Kent Osband,et al.  Providing incentives for better cost forecasting , 1985 .

[44]  Stefan Reichelstein,et al.  Incentives in Government Contracts , 1984 .

[45]  William Thomson,et al.  Eliciting production possibilities from a well-informed manager , 1979 .

[46]  J. Kadane,et al.  Stable Decision Problems , 1978 .

[47]  R. L. Winkler,et al.  Scoring Rules for Continuous Probability Distributions , 1976 .

[48]  Stephen E. Fienberg,et al.  Studies in Bayesian econometrics and statistics : in honor of Leonard J. Savage , 1975 .

[49]  Robert L. Winkler,et al.  Bayesian point estimation and prediction , 1974 .

[50]  L. J. Savage Elicitation of Personal Probabilities and Expectations , 1971 .

[51]  Clive W. J. Granger,et al.  Prediction with a generalized cost of error function , 1969 .

[52]  Gerald S. Rogers,et al.  Mathematical Statistics: A Decision Theoretic Approach , 1967 .

[53]  Howard Raiffa,et al.  Applied Statistical Decision Theory. , 1961 .