Showing math.STShow all
3 papers · 1 filter
math.ST2025
Computing expectiles via fixed point iterations
Thi Khanh Linh Ha, Andreas Heinrich Hamel, Daniel Kostner
Expectiles are statistical parameters which also provide a class of sublinear risk measures in finance. They are solutions of continuous optimization problems. The corresponding fi…
math.ST2021
Computation of quantile sets for bivariate data
Andreas H Hamel, Daniel Kostner
Algorithms are proposed for the computation of set-valued quantiles and the values of the lower cone distribution function for bivariate data sets. These new objects make data anal…
math.ST2016
Cone distribution functions and quantiles for multivariate random variables
Andreas H Hamel, Daniel Kostner
Set-valued quantiles for multivariate distributions with respect to a general convex cone are introduced which are based on a family of (univariate) distribution functions rather t…