Isotonicity properties of generalized quantiles

DOI10.1016/J.SPL.2012.07.003zbMath1312.62055OpenAlexW2049203037MaRDI QIDQ712544

Fabio Bellini

Publication date: 17 October 2012

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

Full work available at URL: http://hdl.handle.net/10281/29717

zbMATH Keywords

stochastic orderssubmodularitygeneralized quantilesexpectilesisotonicity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Order statistics; empirical distribution functions (62G30)

Related Items (9)

Expectiles, omega ratios and stochastic ordering ⋮ Expectile asymptotics ⋮ Optimal insurance design in the presence of exclusion clauses ⋮ On the \(L_p\)-quantiles for the Student \(t\) distribution ⋮ Comparison of \(L_p\)-quantiles and related skewness measures ⋮ Stochastic orders and measures of skewness and dispersion based on expectiles ⋮ Generalized quantiles as risk measures ⋮ On elicitable risk measures ⋮ Backtesting VaR and expectiles with realized scores

Cites Work

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• Asymmetric Least Squares Estimation and Testing
• Conditional \(L_ p\)-quantiles and their application to the testing of symmetry in non-parametric regression
• Expectiles and \(M\)-quantiles are quantiles
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Optimization in Function Spaces
• M-quantiles
• Minimizing a Submodular Function on a Lattice
• Monotone Comparative Statics

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