Nonparametric estimation of non-conditional or conditional geometric quantiles

MaRDI QIDQ5245005zbMATH OpenFDO

Authors Ali Gannoun, Jérôme Saracco, Mohamed Chaouch

Publication date 1 April 2015

Full work available at URL http://journal-sfds.fr/article/view/32/

zbMATH Keywords

algorithmconditional geometric quantilecontour plotgeometric quantilekernel estimatortranformation-retransformation estimate

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Directional data; spatial statistics (62H11)

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(11)

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• On the \(u\)\,th geometric conditional quantile
• Design-based estimation for geometric quantiles with application to outlier detection
• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
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• On multivariate extensions of value-at-risk
• Nonparametric estimation of extreme conditional quantiles
• Generalized quantile and expectile properties for shape constrained nonparametric estimation
• Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management
• On multivariate extensions of conditional-tail-expectation
• Extreme geometric quantiles in a multivariate regular variation framework

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