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On sufficient conditions for the comparison of some quantile-based measures

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  • Félix Belzunce
  • Carolina Martínez-Riquelme

Abstract

In this article, we focus on characterizations and sufficient conditions for the comparison of some quantile-based measures. Mainly we focus on crossing conditions and changes of monotonicity of the quantile functions. The results are given for the comparison of the tail value at risk, total time on test, and the expected proportional shortfall measures.

Suggested Citation

  • Félix Belzunce & Carolina Martínez-Riquelme, 2017. "On sufficient conditions for the comparison of some quantile-based measures," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(13), pages 6512-6527, July.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:13:p:6512-6527
    DOI: 10.1080/03610926.2015.1129421
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    Cited by:

    1. Kayal, Suchandan, 2018. "Quantile-based cumulative inaccuracy measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 329-344.
    2. Antonia Castaño-Martínez & Gema Pigueiras & Miguel A. Sordo, 2021. "On the Increasing Convex Order of Relative Spacings of Order Statistics," Mathematics, MDPI, vol. 9(6), pages 1-12, March.

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