Isotonicity properties of generalized quantiles

DOI10.1016/J.SPL.2012.07.003MaRDI QIDQ712544zbMATH OpenOpenAlexFDO

Authors Fabio Bellini

Publication date 17 October 2012

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

Full work available at URL http://hdl.handle.net/10281/29717

zbMATH Keywords

expectilesgeneralized quantilesisotonicitystochastic orderssubmodularity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30)

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Cites work

• M-quantiles
• Asymmetric Least Squares Estimation and Testing
• Comparison methods for stochastic models and risks
• Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
• Expectiles and M-quantiles are quantiles
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• scientific article; zbMATH DE number 3246773 (Why is no real title available?)
• Minimizing a Submodular Function on a Lattice
• Monotone Comparative Statics
• Optimization in function spaces. With stability considerations in Orlicz spaces.
• Quantile regression.

Cited in

(16)

• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• Backtesting VaR and expectiles with realized scores
• Optimal insurance design in the presence of exclusion clauses
• On the \(L_p\)-quantiles for the Student \(t\) distribution
• Comparison of \(L_p\)-quantiles and related skewness measures
• Expectile asymptotics
• On elicitable risk measures
• Short communication: An axiomatization of \(\Lambda\)-quantiles
• On multivariate quantiles under partial orders
• Stochastic orders and measures of skewness and dispersion based on expectiles
• Expectile hidden Markov regression models for analyzing cryptocurrency returns
• An expectile computation cookbook
• Defining dispersion: a fundamental order for univariate discrete distributions
• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
• Expectiles as basis risk-optimal payment schemes in parametric insurance

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