Cone distribution functions and quantiles for multivariate random variables
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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.
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Cites work
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- scientific article; zbMATH DE number 3541764 (Why is no real title available?)
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Cited in
(21)- On robustness for set-valued optimization problems
- Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
- Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals
- Computation of quantile sets for bivariate ordered data
- Center-outward quantiles and the measurement of multivariate risk
- Editorial. Choosing sets: preface to the special issue on set optimization and applications
- Multi-criteria decision making via multivariate quantiles
- AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
- Set Relations via Families of Scalar Functions and Approximate Solutions in Set Optimization
- Lower Cone Distribution Functions and Set-Valued Quantiles Form Galois Connections
- Superposition, reduction of multivariable problems, and approximation
- On multivariate quantiles under partial orders
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- On unbounded polyhedral convex set optimization problems
- Stochastic orderings for set-valued risk measures
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- Multivariate spatial conditional U-quantiles: a Bahadur-Kiefer representation
- Set-valued expectiles for ordered data analysis
- Set optimization of set-valued risk measures
- A directional multivariate value at risk
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