Isotonicity properties of generalized quantiles

Fabio Bellini

Statistics & Probability Letters, 2012, vol. 82, issue 11, 2017-2024

Abstract: We 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).

Keywords: Expectiles; Generalized quantiles; Stochastic orders; Isotonicity; Submodularity (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2012.07.003

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