Expectiles and M-quantiles are quantiles

Jones, M. C. (1994). Expectiles and M-quantiles are quantiles. Statistics and Probability Letters, 20(2) pp. 149–153.

DOI: https://doi.org/10.1016/0167-7152(94)90031-0

Abstract

Expectiles and M-quantiles are related to means and M-estimates of location in the same way as quantiles are related to the median. We show that expectiles and certain M-quantiles of a distribution F are precisely the ordinary quantiles of distributions G related by an explicit formula to F.

Viewing alternatives

Metrics

Item Actions

Export

You can export this page using these formats Digital Object Identifier - DOI

About

• Item ORO ID
• 28239
• Item Type
• Journal Item
• ISSN
• 0167-7152
• Keywords
• asymmetric loss; M-estimation
• Academic Unit or School
• Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
  Faculty of Science, Technology, Engineering and Mathematics (STEM)
• Copyright Holders
• © 1994 Elsevier Science B. V.
• Depositing User
• Sarah Frain