Integrated quantile functions: properties and applications
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Abstract: In this paper we provide a systematic exposition of basic properties of integrated distribution and quantile functions. We define these transforms in such a way that they characterize any probability distribution on the real line and are Fenchel conjugates of each other. We show that uniform integrability, weak convergence and tightness admit a convenient characterization in terms of integrated quantile functions. As an application we demonstrate how some basic results of the theory of comparison of binary statistical experiments can be deduced using integrated quantile functions. Finally, we extend the area of application of the Chacon--Walsh construction in the Skorokhod embedding problem.
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Cited in
(8)- Quantile functions for multivariate analysis: approaches and applications
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Minimal embeddings of integrable processes in a Brownian motion
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- Optimization of quasi-convex function over product measure sets
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