Cone distribution functions and quantiles for multivariate random variables

DOI10.1016/J.JMVA.2018.04.004zbMATH Open1490.62123arXiv1611.06353OpenAlexW2554428004WikidataQ129971142 ScholiaQ129971142MaRDI QIDQ1661335FDOQ1661335

Daniel Kostner, Andreas H. Hamel

Publication date: 16 August 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Set-valued quantiles for multivariate distributions with respect to a general convex cone are introduced which are based on a family of (univariate) distribution functions rather than on the joint distribution function. It is shown that these quantiles enjoy basically all the properties of univariate quantile functions. Relationships to families of univariate quantile functions and to depth functions are discussed. Finally, a corresponding Value at Risk for multivariate random variables as well as stochastic orders are introduced via the set-valued approach.

Full work available at URL: https://arxiv.org/abs/1611.06353

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zbMATH Keywords

partial ordervalue-at-riskset optimizationmultivariate quantiles

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15)

Cites Work

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• Discussion

Cited In (12)

• Superposition, reduction of multivariable problems, and approximation
• Set Relations via Families of Scalar Functions and Approximate Solutions in Set Optimization
• Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
• On robustness for set-valued optimization problems
• Lower Cone Distribution Functions and Set-Valued Quantiles Form Galois Connections
• On unbounded polyhedral convex set optimization problems
• Depth and outliers for samples of sets and random sets distributions
• Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
• Computation of quantile sets for bivariate ordered data
• Editorial. Choosing sets: preface to the special issue on set optimization and applications
• Multi-criteria decision making via multivariate quantiles
• Set optimization of set-valued risk measures

Uses Software

• BENSOLVE

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