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 analogous to that in which the quantiles of the distribution are related to the median.

For ${\textstyle \tau \in (0,1)}$ expectile of the probability distribution with cumulative distribution function ${\textstyle F}$ is characterized by any of the following equivalent conditions:^{[1] [2] [3]}

${\displaystyle {\begin{aligned}&(1-\tau )\int _{-\infty }^{t}(t-x)\,dF(x)=\tau \int _{t}^{\infty }(x-t)\,dF(x)\\[5pt]&\int _{-\infty }^{t}|t-x|\,dF(x)=\tau \int _{-\infty }^{\infty }|x-t|\,dF(x)\\[5pt]&t-\operatorname {E} [X]={\frac {2\tau -1}{1-\tau }}\int _{t}^{\infty }(x-t)\,dF(x)\end{aligned}}}$

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