Expectile depth: theory and computation for bivariate datasets

DOI10.1016/J.JMVA.2021.104757MaRDI QIDQ2034470zbMATH OpenOpenAlexFDO

Authors Ignacio Cascos, Maicol Ochoa

Publication date 22 June 2021

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jmva.2021.104757

zbMATH Keywords

expectilealgorithmdata depthbagplotdepth region

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Geometric probability and stochastic geometry (60D05)

Recommendations

• Multivariate geometric expectiles
• Expectile asymptotics
• Extremes for multivariate expectiles
• Optimal expectile smoothing
• Algorithm AS 307: Bivariate Location Depth

Cites work

• scientific article; zbMATH DE number 3541764 (Why is no real title available?)
• scientific article; zbMATH DE number 236540 (Why is no real title available?)
• M-quantiles
• A Generalization of Shapiro–Wilk's Test for Multivariate Normality
• A note on multivariate \(M\)-quantiles
• Algorithm AS 307: Bivariate Location Depth
• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Comparison methods for stochastic models and risks
• Computing depth contours of bivariate point clouds
• Computing zonoid trimmed regions of bivariate data sets
• Control Charts for Multivariate Processes
• Control charts based on parameter depths
• Data depth: multivariate statistics and geometry
• Data depths satisfying the projection property
• Expectile asymptotics
• Expectiles and M-quantiles are quantiles
• Expectiles, omega ratios and stochastic ordering
• General notions of statistical depth function.
• Generalized quantiles as risk measures
• Lift zonoids, random convex hulls and the variability of random vectors
• Making and evaluating point forecasts
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• Multivariate dispersion, central regions and depth. The lift zonoid approach
• Multivariate extensions of expectiles risk measures
• Multivariate geometric expectiles
• Multivariate risks and depth-trimmed regions
• On a notion of data depth based on random simplices
• On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
• On the skewness order of Van Zwet and Oja
• Optimal expectile smoothing
• Orderings of risks: A comparative study via stop-loss transforms
• Statistical inference for expectile-based risk measures
• Stochastic orders
• The depth function of a population distribution.
• The expected convex hull trimmed regions of a sample
• Theory of Random Sets
• Theory of capacities
• Weighted-mean regions of a probability distribution
• Weighted-mean trimming of multivariate data
• Zonoid trimming for multivariate distributions

Cited in

(4)

• Multivariate geometric expectiles
• Marginal M-quantile regression for multivariate dependent data
• expdepth
• An expectile computation cookbook

Describes a project that uses

Uses Software

• ddalpha
• Expectreg
• AS 307
• aplpack
• mvShapiroTest
• CRAN

This page was built for publication: Expectile depth: theory and computation for bivariate datasets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2034470)