Quantiles, expectiles and splines
نویسندگان
چکیده
منابع مشابه
Quantiles, Expectiles and Splines
A time-varying quantile can be tted by formulating a time series model for the corresponding population quantile and iteratively applying a suitably modi ed state space signal extraction algorithm. It is shown that such quantiles satisfy the de ning property of xed quantiles in having the appropriate number of observations above and below. Like quantiles, time-varying expectiles can be estima...
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Recently, quantiles and expectiles of a regression function have been investigated by several authors. In this work, we give a suu-cient condition under which a quantile and an expectile coincide. We extend some classical results known for mean, median and symmetry to expectiles, quantiles and weighted-symmetry. We also study split-models and sample estimators of expectiles.
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Consider the problem of aggregating a pro le of interpersonally comparable utilities into a social utility. We require that the units of measurement of utility used for agents is the same as the units of measurement for society (ordinal covariance) and a mild Pareto condition (monotonicity). We provide several representations of such social aggregation operators: a canonical representation, a C...
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M-estimators introduced in Huber (1964) provide a class of robust estimators of a center of symmetry of a symmetric probability distribution which also have very high eeciency at the model. However it is not clear what they do estimate when the probability distributions are nonsymmetric. In this paper we rst show that in the case of arbitrary, not necessarily symmetric probabilty distributions,...
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In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process. These estimators are based on sample expectiles of discrete variations of a sample path of the fBm process. In order to derive the statistical properties of the proposed estimators, we establish asymptotic results for sample expectiles of subordinated stationary Gaussian ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2009
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2009.01.001