Matching a distribution by matching quantiles estimation

DOI10.1080/01621459.2014.929522zbMATH Open1373.62530OpenAlexW1988980122WikidataQ36287113 ScholiaQ36287113MaRDI QIDQ5367398FDOQ5367398

Claudia Yastremiz, Qiwei Yao, Nikolaos Sgouropoulos

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.929522

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zbMATH Keywords

Lassosample quantileportfolio trackingordinary least-squares estimationgoodness-of-matchmatching quantiles estimation (MQE)representative portfolio

Mathematics Subject Classification ID

Density estimation (62G07) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (8)

• Statistical properties of the quantile normalization method for density curve alignment
• Facility dependent distance decay in competitive location
• Large deviations for method-of-quantiles estimators of one-dimensional parameters
• Matching distributions for survival data
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Predicting disease risks by matching quantiles estimation for censored data
• General matching quantiles M-estimation
• Matching a discrete distribution by Poisson matching quantiles estimation

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