Comparison of Lp-quantiles and related skewness measures
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Elsevier
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Abstract
We prove comparison results between -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.
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expectiles, stochastic orders, odds function, Omega ratio, log-concavity
Citation
Statistics & Probability Letters. 2022, vol. 183, art. no. 109339.