Expectiles and M-quantiles are quantiles

M. C. Jones

Statistics & Probability Letters, 1994, vol. 20, issue 2, 149-153

Abstract: Expectiles and M-quantiles are related to means and M-estimates of location in the same way as quantiles are related to the median. We show that expectiles and certain M-quantiles of a distribution F are precisely the ordinary quantiles of distributions G related by an explicit formula to F.

Keywords: Asymmetric; loss; M-estimation (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (76)

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