Multivariate geometric expectiles
From MaRDI portal
Abstract: A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are given by d-dimensional vectors. They are well behaved under common data transformations and the corresponding sample version is shown to be a consistent estimator. We exemplify their usage as risk measures in a number of multivariate settings, highlighting the influence of varying margins and dependence structures.
Recommendations
Cites work
- \(M\)-estimation, convexity and quantiles
- A directional multivariate value at risk
- An introduction to copulas.
- Asymmetric Least Squares Estimation and Testing
- Bounds for functions of multivariate risks
- Coherence and elicitability
- Coherent measures of risk
- Convex analysis and global optimization
- Convexity and optimization in Banach spaces.
- Dependence modeling with copulas
- Elicitability and backtesting: perspectives for banking regulation
- Extreme geometric quantiles in a multivariate regular variation framework
- Higher order elicitability and Osband's principle
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 3826980 (Why is no real title available?)
- scientific article; zbMATH DE number 3930122 (Why is no real title available?)
- scientific article; zbMATH DE number 1735137 (Why is no real title available?)
- scientific article; zbMATH DE number 775727 (Why is no real title available?)
- scientific article; zbMATH DE number 3238721 (Why is no real title available?)
- Intriguing properties of extreme geometric quantiles
- Making and evaluating point forecasts
- Multivariate extensions of expectiles risk measures
- Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
- Multivariate stress scenarios and solvency
- Note on the spatial quantile of a random vector
- On a Geometric Notion of Quantiles for Multivariate Data
- On affine equivariant multivariate quantiles
- On multivariate extensions of conditional-tail-expectation
- On multivariate extensions of value-at-risk
- Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
- Quantile functions for multivariate analysis: approaches and applications
- Quantitative risk management. Concepts, techniques and tools
- Regression Quantiles
- Robust Statistics
- Robustness and Complex Data Structures
- TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
- Vector-valued coherent risk measures
- Vector-valued tail value-at-risk and capital allocation
- Volatility forecast comparison using imperfect volatility proxies
Cited in
(17)- Extremes for multivariate expectiles
- Expectile depth: theory and computation for bivariate datasets
- Semi-parametric estimation of multivariate extreme expectiles
- Multivariate \(\rho \)-quantiles: a spatial approach
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
- Partially Linear Expectile Regression Using Local Polynomial Fitting
- Multivariate expectile-based distribution: properties, Bayesian inference, and applications
- Unified Unconditional Regression for Multivariate Quantiles, M-Quantiles, and Expectiles
- On the robustness of spatial quantiles
- Existence and breakdown analysis of M-quantiles in general Hilbert spaces
- Radial fields on the manifolds of symmetric positive definite matrices
- Nonparametric estimation of conditional expectile-based risk measures
- On a general class of functionals: statistical inference and application to risk measures
- Set-valued expectiles for ordered data analysis
- On the use of M-quantiles for outlier detection in multidimensional data
- Extreme geometric quantiles in a multivariate regular variation framework
This page was built for publication: Multivariate geometric expectiles
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4583625)
