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.
(2022). Comparison of Lp-quantiles and related skewness measures [journal article - articolo]. In STATISTICS & PROBABILITY LETTERS. Retrieved from http://hdl.handle.net/10446/201094
Comparison of Lp-quantiles and related skewness measures
Lando, Tommaso;
2022-01-01
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.File allegato/i alla scheda:
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