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Weighted-mean regions of a probability distribution

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  • Dyckerhoff, Rainer
  • Mosler, Karl

Abstract

In this paper we investigate a new class of central regions for probability distributions on Rd, called weighted-mean regions. Their restrictions to an empirical distribution are the weighted-mean trimmed regions investigated by Dyckerhoff and Mosler (2011) for d-variate data. Furthermore a new class of stochastic orderings of variability, the weighted-mean orderings, is introduced.

Suggested Citation

  • Dyckerhoff, Rainer & Mosler, Karl, 2012. "Weighted-mean regions of a probability distribution," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 318-325.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:2:p:318-325
    DOI: 10.1016/j.spl.2011.10.011
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    References listed on IDEAS

    as
    1. Alexander S. Cherny, 2006. "Pricing with coherent risk," Papers math/0605049, arXiv.org.
    2. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    3. Alexander S. Cherny & Dilip B. Madan, 2006. "CAPM, rewards, and empirical asset pricing with coherent risk," Papers math/0605065, arXiv.org.
    4. Dyckerhoff, Rainer & Mosler, Karl, 2011. "Weighted-mean trimming of multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 405-421, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Karl Mosler, 2023. "Representative endowments and uniform Gini orderings of multi-attribute welfare," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 21(1), pages 233-250, March.
    2. Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Econometrics and Statistics 4/11, University of Cologne, Institute of Econometrics and Statistics.
    3. Cascos, Ignacio & Ochoa, Maicol, 2021. "Expectile depth: Theory and computation for bivariate datasets," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    4. Bazovkin, Pavel & Mosler, Karl, 2011. "Stochastic linear programming with a distortion risk constraint," Discussion Papers in Econometrics and Statistics 6/11, University of Cologne, Institute of Econometrics and Statistics.
    5. Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.

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