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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.ST2023
Set-valued expectiles for ordered data analysis
Ha Thi Khanh Linh, Andreas H Hamel
Recently defined expectile regions capture the idea of centrality with respect to a multivariate distribution, but fail to describe the tail behavior while it is not at all clear w…