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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 (Digital Object Identifier) Link: http://dx.doi.org/10.1016/0167-7152(94)90031-0
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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.

Item Type: Journal Article
Copyright Holders: 1994 Elsevier Science B. V.
ISSN: 0167-7152
Keywords: asymmetric loss; M-estimation
Academic Unit/Department: Mathematics, Computing and Technology > Mathematics and Statistics
Item ID: 28239
Depositing User: Sarah Frain
Date Deposited: 19 Apr 2011 09:30
Last Modified: 19 Apr 2011 09:30
URI: http://oro.open.ac.uk/id/eprint/28239
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