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EXPECTILE

Expectile

In the mathematical theory of probability, the expectiles of a probability distribution are related to the expected value of the distribution in a way

Expectile

List of probability distributions

normal distribution with the negative of an exponential distribution. The expectile distribution, which nests the Gaussian distribution in the symmetric case

List of probability distributions

List_of_probability_distributions

Expected value

Average value of a random variable

mean Central tendency Conditional expectation Expectation (epistemic) Expectile – related to expectations in a way analogous to that in which quantiles

Expected value

Expected_value

Quantile

Statistical method of dividing data into equal-sized intervals for analysis

first bucketing by quantile Interquartile range Descriptive statistics Expectile – related to expectations in a way analogous to that in which quantiles

Quantile

Quantile function

Statistical function that defines the quantiles of a probability distribution

Ehm, W.; Gneiting, T.; Jordan, A.; Krüger, F. (2016). "Of quantiles and expectiles: Consistent scoring functions, Choquet representations, and forecast rankings"

Quantile function

Quantile_function

Risk measure

Concept in financial mathematics

Tail conditional expectation Entropic risk measure Superhedging price Expectile Variance (or standard deviation) is not a risk measure in the above sense

Risk measure

Risk_measure