Isotonicity properties of generalized quantiles

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).

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Year of publication:	2012
Authors:	Bellini, Fabio
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 11, p. 2017-2024
Publisher:	Elsevier
Subject:	Expectiles \| Generalized quantiles \| Stochastic orders \| Isotonicity \| Submodularity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010593896