Computing expectiles via fixed point iterations

DOI10.1016/J.SPL.2026.110760MaRDI QIDQ7302879zbMATH OpenFDO

Authors Thi Khanh Linh Ha, Andreas H. Hamel, Daniel Kostner

Publication date 23 July 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2026.110760

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70)

Cites work

• An expectile computation cookbook
• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Expectile asymptotics
• Expectile depth: theory and computation for bivariate datasets
• Generalized quantiles as risk measures
• Infinite dimensional analysis. A hitchhiker's guide.
• Numerical algorithms: methods for computer vision, machine learning, and graphics
• Set-valued expectiles for ordered data analysis

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