Quantile Probabilistic / Bayesian AI; Optimization Foundations
noun
Definition: A value that partitions a probability distribution or an ordered dataset so that a specified proportion of observations lies at or below it [Tyralis, Papacharalampous 2024].
Example in context: “A favourable property of the quantile loss function is that it is strictly consistent for the quantile of probability distributions with finite first moments…” [Tyralis, Papacharalampous 2024]
Synonym: percentile (special case / related statistical notion)
Related terms: quantile loss; quantile function; median; expectile; probabilistic forecasting