Comparison of Lp-quantiles and related skewness measures

Idir Arab, Tommaso Lando and Paulo Eduardo Oliveira

Statistics & Probability Letters, 2022, vol. 183, issue C

Abstract: We prove comparison results between Lp-quantiles of different degrees, including the ordinary quantiles and the expectiles, and derive the convexity of the corresponding generalized odds functions. Moreover, we show that the expectile order is a suitable order of skewness.

Keywords: Expectiles; Stochastic orders; Odds function; Omega ratio; Log-concavity (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2021.109339

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