Comparison of L_p-quantiles and related skewness measures

DOI10.1016/J.SPL.2021.109339MaRDI QIDQ2667589zbMATH OpenOpenAlexFDO

Authors Idir Arab, Tommaso Lando, Paulo Eduardo Oliveira

Publication date 4 March 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2021.109339

zbMATH Keywords

expectileslog-concavityodds functionomega ratiostochastic orders

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30) Linear regression; mixed models (62J05)

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Cites work

• Asymmetric Least Squares Estimation and Testing
• Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
• Continua of stochastic dominance relations for unbounded probability distributions
• Expectiles and M-quantiles are quantiles
• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• Generalizing Koenker's distribution
• scientific article; zbMATH DE number 3833083 (Why is no real title available?)
• scientific article; zbMATH DE number 3204183 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• Isotonicity properties of generalized quantiles
• ITERATED FAILURE RATE MONOTONICITY AND ORDERING RELATIONS WITHIN GAMMA AND WEIBULL DISTRIBUTIONS
• Life distributions. Structure of nonparametric, semiparametric, and parametric families.
• Omega-CVaR portfolio optimization and its worst case analysis
• Regression Quantiles
• Skewness and asymmetry: Measures and orderings
• Skewness and kurtosis orderings: an introduction
• Stochastic orders

Cited in

(5)

• On the \(L_p\)-quantiles for the Student \(t\) distribution
• Stochastic orders and measures of skewness and dispersion based on expectiles
• Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
• Conditional generalized quantiles as systemic risk measures: properties, estimation, and application
• Isotonicity properties of generalized quantiles

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