Recovery of quantile and quantile density function using the frequency moments

DOI10.1016/J.SPL.2018.04.022MaRDI QIDQ1644184zbMATH OpenOpenAlexWikidataFDO

Authors Aleksandre Sborshchikovi, Robert Mnatsakanov

Publication date 21 June 2018

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

Full work available at URL https://doi.org/10.1016/j.spl.2018.04.022

zbMATH Keywords

expected shortfallfrequency momentsquantile functionrisk modelsquantile density function

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• A Smooth Nonparametric Estimator of a Quantile Function
• A new distribution-free quantile estimator
• An investigation of quantile function estimators relative to quantile confidence interval coverage
• Approximation of the ruin probability using the scaled Laplace transform inversion
• Estimating densities, quantiles, quantile densities and density quantiles
• Nonparametric Statistical Data Modeling
• On the moment-recovered approximations of regression and derivative functions with applications
• Recovery of a quantile function from moments
• Recovery of functions from transformed moments: A unified approach
• Unified estimators of smooth quantile and quantile density functions

Cited in

(5)

• On nonparametric quantile function estimation using transformed moments
• Density estimation using bootstrap quantile variance and quantile-mean covariance
• Recovery of a quantile function from moments
• Recovering a function from a finite number of moments
• On recovering the relative distribution. I: The moment-recovered approach

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