On multivariate quantiles under partial orders

DOI10.1214/10-AOS863zbMATH Open1216.62082arXiv0912.5489OpenAlexW3099693733MaRDI QIDQ548551FDOQ548551

Authors: Robert L. Winkler, A. Belloni 

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper focuses on generalizing quantiles from the ordering point of view. We propose the concept of partial quantiles, which are based on a given partial order. We establish that partial quantiles are equivariant under order-preserving transformations of the data, robust to outliers, characterize the probability distribution if the partial order is sufficiently rich, generalize the concept of efficient frontier, and can measure dispersion from the partial order perspective. We also study several statistical aspects of partial quantiles. We provide estimators, associated rates of convergence, and asymptotic distributions that hold uniformly over a continuum of quantile indices. Furthermore, we provide procedures that can restore monotonicity properties that might have been disturbed by estimation error, establish computational complexity bounds, and point out a concentration of measure phenomenon (the latter under independence and the componentwise natural order). Finally, we illustrate the concepts by discussing several theoretical examples and simulations. Empirical applications to compare intake nutrients within diets, to evaluate the performance of investment funds, and to study the impact of policies on tobacco awareness are also presented to illustrate the concepts and their use.

Full work available at URL: https://arxiv.org/abs/0912.5489

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zbMATH Keywords

uniform estimation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Linear inference, regression (62J99) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Complexity and performance of numerical algorithms (65Y20)

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Cited In (10)

• Cone distribution functions and quantiles for multivariate random variables
• Vector quantile regression: an optimal transport approach
• Distribution and quantile functions, ranks and signs in dimension \(d\): a measure transportation approach
• Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness
• General jackknife empirical likelihood and its applications
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• A multivariate dispersion ordering based on quantiles more widely separated
• Computation of quantile sets for bivariate ordered data
• Multi-criteria decision making via multivariate quantiles
• Vector quantile regression beyond the specified case

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