Point forecasting and forecast evaluation with generalized Huber loss

@article{Taggart2021PointFA,
  title={Point forecasting and forecast evaluation with generalized Huber loss},
  author={Robert J. Taggart},
  journal={Electronic Journal of Statistics},
  year={2021}
}
: Huber loss, its asymmetric variants and their associated func- tionals (here named Huber functionals ) are studied in the context of point forecasting and forecast evaluation. The Huber functional of a distribution is the set of minimizers of the expected (asymmetric) Huber loss, is an intermediary between a quantile and corresponding expectile, and also arises in M-estimation. Each Huber functional is elicitable, generating the precise set of minimizers of an expected score, subject to weak… 

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