Cone distribution functions and quantiles for multivariate random variables
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Abstract: Set-valued quantiles for multivariate distributions with respect to a general convex cone are introduced which are based on a family of (univariate) distribution functions rather than on the joint distribution function. It is shown that these quantiles enjoy basically all the properties of univariate quantile functions. Relationships to families of univariate quantile functions and to depth functions are discussed. Finally, a corresponding Value at Risk for multivariate random variables as well as stochastic orders are introduced via the set-valued approach.
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Cited in
(17)- On multivariate quantiles under partial orders
- Editorial. Choosing sets: preface to the special issue on set optimization and applications
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
- Superposition, reduction of multivariable problems, and approximation
- On robustness for set-valued optimization problems
- Center-outward quantiles and the measurement of multivariate risk
- AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
- Lower Cone Distribution Functions and Set-Valued Quantiles Form Galois Connections
- Multi-criteria decision making via multivariate quantiles
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