On sufficient conditions for the comparison of some quantile-based measures

Félix Belzunce and Carolina Martínez-Riquelme

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 13, 6512-6527

Abstract: In this article, we focus on characterizations and sufficient conditions for the comparison of some quantile-based measures. Mainly we focus on crossing conditions and changes of monotonicity of the quantile functions. The results are given for the comparison of the tail value at risk, total time on test, and the expected proportional shortfall measures.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2015.1129421 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:13:p:6512-6527

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2015.1129421

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().