Isotonicity properties of generalized quantiles
AbstractWe investigate whether several families of generalized quantiles (expectiles, Lp-quantiles and M-quantiles) respect various stochastic orders (the usual stochastic order, the convexity order, and the p-convexity orders).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 11 ()
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Milgrom, Paul & Shannon, Chris, 1994.
"Monotone Comparative Statics,"
Econometric Society, vol. 62(1), pages 157-80, January.
- Roger Koenker & Kevin F. Hallock, 2001.
Journal of Economic Perspectives,
American Economic Association, vol. 15(4), pages 143-156, Fall.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July.
- Bellini, Fabio & Rosazza Gianin, Emanuela, 2012. "Haezendonck–Goovaerts risk measures and Orlicz quantiles," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 107-114.
- Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
- Chen, Zehua, 1996. "Conditional Lp-quantiles and their application to the testing of symmetry in non-parametric regression," Statistics & Probability Letters, Elsevier, vol. 29(2), pages 107-115, August.
- Koenker, Roger, 1992. "When Are Expectiles Percentiles?," Econometric Theory, Cambridge University Press, vol. 8(03), pages 423-424, September.
- Jones, M. C., 1994. "Expectiles and M-quantiles are quantiles," Statistics & Probability Letters, Elsevier, vol. 20(2), pages 149-153, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.