Set-valued expectiles for ordered data analysis

DOI10.1016/J.JMVA.2025.105425MaRDI QIDQ6982175zbMATH OpenFDO

Authors Andreas H. Hamel, Thi Khanh Linh Ha

Publication date 19 May 2025

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2025.105425

zbMATH Keywords

expectile rank functionexpectile regionexpectile risk measuremultivariate expectile

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites work

• Asymmetric Least Squares Estimation and Testing
• Coherence and elicitability
• Coherent measures of risk
• Computation of quantile sets for bivariate ordered data
• Cone distribution functions and quantiles for multivariate random variables
• Discussion: The beauty of expectiles
• Duality for set-valued measures of risk
• Equivalence between polyhedral projection, multiple objective linear programming and vector linear programming
• Expectile asymptotics
• Expectile depth: theory and computation for bivariate datasets
• Expectiles, omega ratios and stochastic ordering
• Generalized quantiles as risk measures
• Infinite dimensional analysis. A hitchhiker's guide.
• Multivariate extensions of expectiles risk measures
• Multivariate geometric expectiles
• On elicitable risk measures
• On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families
• Performance measurement with expectiles
• Quantiles, expectiles and splines
• Robust Statistics
• Set Optimization—A Rather Short Introduction
• Set-valued risk measures for conical market models
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• The polyhedral projection problem

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