The shapes of things to come: probability density quantiles

DOI10.1080/02331888.2016.1277225MaRDI QIDQ4600780zbMATH OpenOpenAlexFDO

Authors Robert G. Staudte

Publication date 12 January 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.00189

zbMATH Keywords

asymmetryKullback-Leibler divergenceLagrange multipliersHellinger metricquantile densitytail-weight

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Density estimation (62G07)

Abstract: For every discrete or continuous location-scale family having a square-integrable density, there is a unique continuous probability distribution on the unit interval that is determined by the density-quantile composition introduced by Parzen in 1979. These probability density quantiles (pdQs) only differ in shape, and can be usefully compared with the Hellinger distance or Kullback-Leibler divergences. Convergent empirical estimates of these pdQs are provided, which leads to a robust global fitting procedure of shape families to data. Asymmetry can be measured in terms of distance or divergence of pdQs from the symmetric class. Further, a precise classification of shapes by tail behavior can be defined simply in terms of pdQ boundary derivatives.

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• Shape measures based on the convex transform order

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