Evaluating quantile-bounded and expectile-bounded interval forecasts

In many different contexts, decision-making is improved by the availability of probabilistic predictions. The accuracy forecasting methods can be compared using scoring functions and insight provided calibration tests. These tests evaluate consistency predictions with observations. Our main agenda in this paper interval forecasts their evaluation. Such are usually bounded two quantile forecasts. However, a limitation quantiles that they convey no information regarding size potential exceedances. By contrast, location an expectile dictated whole distribution. This prompts us to propose expectile-bounded intervals. We provide interpretation, consistent function test. Before doing this, we reflect on evaluation quantile-bounded intervals expectiles, suggest extensions previously proposed order guard against strategic forecasting. illustrate ideas day-ahead electricity price