Matching a distribution by matching quantiles estimation

DOI10.1080/01621459.2014.929522MaRDI QIDQ5367398zbMATH OpenOpenAlexWikidataFDO

Authors Nikolaos Sgouropoulos, Qiwei Yao, Claudia Yastremiz

Publication date 13 October 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2014.929522

zbMATH Keywords

goodness-of-matchLassomatching quantiles estimation (MQE)ordinary least-squares estimationportfolio trackingrepresentative portfoliosample quantile

Mathematics Subject Classification ID

Density estimation (62G07) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(12)

• Statistical properties of the quantile normalization method for density curve alignment
• Facility dependent distance decay in competitive location
• Predicting disease risks by matching quantiles estimation for censored data
• General matching quantiles M-estimation
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Large deviations for method-of-quantiles estimators of one-dimensional parameters
• Matching distributions for survival data
• Matching a discrete distribution by Poisson matching quantiles estimation
• A unified consensus-based parallel algorithm for high-dimensional regression with combined regularizations
• Estimating the sampling distribution of posterior decision summaries in Bayesian clinical trials
• Quantile forecast matching with a Bayesian quantile Gaussian process model
• Finding distributions that differ, with false discovery rate control

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