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Comparison of Lp-quantiles and related skewness measures

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  • Arab, Idir
  • Lando, Tommaso
  • Oliveira, Paulo Eduardo

Abstract

We prove comparison results between Lp-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.

Suggested Citation

  • Arab, Idir & Lando, Tommaso & Oliveira, Paulo Eduardo, 2022. "Comparison of Lp-quantiles and related skewness measures," Statistics & Probability Letters, Elsevier, vol. 183(C).
    • Handle: RePEc:eee:stapro:v:183:y:2022:i:c:s016771522100287x
    DOI: 10.1016/j.spl.2021.109339
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    References listed on IDEAS

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