Cone distribution functions and quantiles for multivariate random variables

DOI10.1016/j.jmva.2018.04.004zbMath1490.62123arXiv1611.06353OpenAlexW2554428004WikidataQ129971142 ScholiaQ129971142MaRDI QIDQ1661335

Daniel Kostner, Andreas H. Hamel

Publication date: 16 August 2018

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

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

zbMATH Keywords

partial ordervalue-at-riskset optimizationmultivariate quantiles

Mathematics Subject Classification ID

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

Related Items (11)

Set optimization of set-valued risk measures ⋮ Depth and outliers for samples of sets and random sets distributions ⋮ Lower Cone Distribution Functions and Set-Valued Quantiles Form Galois Connections ⋮ Superposition, reduction of multivariable problems, and approximation ⋮ 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 ⋮ Editorial. Choosing sets: preface to the special issue on set optimization and applications ⋮ Multi-criteria decision making via multivariate quantiles ⋮ Set Relations via Families of Scalar Functions and Approximate Solutions in Set Optimization ⋮ Computation of quantile sets for bivariate ordered data

Uses Software

• BENSOLVE

Cites Work

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