Weighted-mean regions of a probability distribution
AbstractIn this paper we investigate a new class of central regions for probability distributions on Rd, called weighted-mean regions. Their restrictions to an empirical distribution are the weighted-mean trimmed regions investigated by Dyckerhoff and Mosler (2011) for d-variate data. Furthermore a new class of stochastic orderings of variability, the weighted-mean orderings, is introduced.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
- Dyckerhoff, Rainer & Mosler, Karl, 2011. "Weighted-mean trimming of multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 405-421, March.
- Alexander S. Cherny & Dilip B. Madan, 2006. "CAPM, rewards, and empirical asset pricing with coherent risk," Papers math/0605065, arXiv.org.
- Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Statistics and Econometrics 4/11, University of Cologne, Department for Economic and Social Statistics.
- Bazovkin, Pavel & Mosler, Karl, 2011. "Stochastic linear programming with a distortion risk constraint," Discussion Papers in Statistics and Econometrics 6/11, University of Cologne, Department for Economic and Social Statistics.
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