Functional, randomized and smoothed multivariate quantile regions

Olivier P. Faugeras and Ludger Rüschendorf

Journal of Multivariate Analysis, 2021, vol. 186, issue C

Abstract: The mass transportation approach to multivariate quantiles in Chernozhukov et al. (2017) was modified in Faugeras and Rüschendorf (2017) by a two steps procedure. In the first step, a mass transportation problem from a spherical reference measure to the copula is solved and combined in the second step with a marginal quantile transformation in the sample space. Also, generalized quantiles given by suitable Markov morphisms are introduced there.

Keywords: Copula; Depth area; Mass transportation; Vector quantiles (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jmva.2021.104802

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