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Quantile functions for multivariate analysis: approaches and applications

Citations

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Cited by:

  1. Bruce N. Lehmann, 2005. "The Role of Beliefs in Inference for Rational Expectations Models," NBER Working Papers 11758, National Bureau of Economic Research, Inc.
  2. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
  3. Eustasio Del Barrio & Alberto Gonzalez-Sanz & Marc Hallin, 2019. "A Note on the Regularity of Center-Outward Distribution and Quantile Functions," Working Papers ECARES 2019-33, ULB -- Universite Libre de Bruxelles.
  4. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
  5. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
  6. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
  7. Hamel, Andreas H. & Kostner, Daniel, 2018. "Cone distribution functions and quantiles for multivariate random variables," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 97-113.
  8. Emilio Carrizosa & Frank Plastria, 2008. "Optimal Expected-Distance Separating Halfspace," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 662-677, August.
  9. Pere, Jaakko & Ilmonen, Pauliina & Viitasaari, Lauri, 2024. "On extreme quantile region estimation under heavy-tailed elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
  10. Isabelle Charlier & Davy Paindaveine & Jérôme Saracco, 2016. "Multiple-Output Quantile Regression through Optimal Quantization," Working Papers ECARES ECARES 2016-18, ULB -- Universite Libre de Bruxelles.
  11. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
  12. Florens, Jean-Pierre & Simar, Léopold & Van Keilegom, Ingrid, 2014. "Frontier estimation in nonparametric location-scale models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 456-470.
  13. Nadja Klein & Torsten Hothorn & Luisa Barbanti & Thomas Kneib, 2022. "Multivariate conditional transformation models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 116-142, March.
  14. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
  15. Klaus Herrmann & Marius Hofert & Melina Mailhot, 2017. "Multivariate Geometric Expectiles," Papers 1704.01503, arXiv.org, revised Jan 2018.
  16. Daouia, Abdelaati & Paindaveine, Davy, 2019. "Multivariate Expectiles, Expectile Depth and Multiple-Output Expectile Regression," TSE Working Papers 19-1022, Toulouse School of Economics (TSE), revised Feb 2023.
  17. Judith Eidenberger & Vanessa Redak & Eva Ubl, 2019. "Who puts our financial system at risk? A methodological approach to identify banks with potential significant negative effects on financial stability," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 37, pages 57-72.
  18. repec:hal:spmain:info:hdl:2441/64itsev5509q8aa5mrbhi0g0b6 is not listed on IDEAS
  19. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  20. Marc Hallin & Davy Paindaveine & Miroslav Siman, 2008. "Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth," Working Papers ECARES 2008_042, ULB -- Universite Libre de Bruxelles.
  21. Frank Critchley & M. C. Jones, 2008. "Asymmetry and Gradient Asymmetry Functions: Density‐Based Skewness and Kurtosis," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 415-437, September.
  22. L. Jeff Hong & Zhiyuan Huang & Henry Lam, 2021. "Learning-Based Robust Optimization: Procedures and Statistical Guarantees," Management Science, INFORMS, vol. 67(6), pages 3447-3467, June.
  23. repec:hal:spmain:info:hdl:2441/3qnaslliat80pbqa8t90240unj is not listed on IDEAS
  24. Barme-Delcroix, Marie-Francoise & Gather, Ursula, 2007. "Limit laws for multidimensional extremes," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1750-1755, December.
  25. Nadja Klein & Thomas Kneib, 2020. "Directional bivariate quantiles: a robust approach based on the cumulative distribution function," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 225-260, June.
  26. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
  27. Kneib, Thomas & Silbersdorff, Alexander & Säfken, Benjamin, 2023. "Rage Against the Mean – A Review of Distributional Regression Approaches," Econometrics and Statistics, Elsevier, vol. 26(C), pages 99-123.
  28. Yebin Cheng & Jan G. de Gooijer, 2004. "On the u-th Geometric Conditional Quantile," Tinbergen Institute Discussion Papers 04-072/4, Tinbergen Institute.
  29. Abdelaati Daouia & Irène Gijbels & Gilles Stupfler, 2022. "Extremile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 117(539), pages 1579-1586, September.
  30. Mohamed CHAOUCH & Ali GANNOUN & Jérôme SARACCO, 2008. "Conditional Spatial Quantile: Characterization and Nonparametric Estimation," Cahiers du GREThA (2007-2019) 2008-10, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
  31. Sordo, Miguel A., 2016. "A multivariate extension of the increasing convex order to compare risks," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 224-230.
  32. Fraiman, Ricardo & Pateiro-López, Beatriz, 2012. "Quantiles for finite and infinite dimensional data," Journal of Multivariate Analysis, Elsevier, vol. 108(C), pages 1-14.
  33. Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
  34. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  35. Daniel Hlubinka & Miroslav Šiman, 2015. "On generalized elliptical quantiles in the nonlinear quantile regression setup," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 249-264, June.
  36. Paindaveine, Davy & Siman, Miroslav, 2011. "On directional multiple-output quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 193-212, February.
  37. Dette, Holger & Hoderlein, Stefan & Neumeyer, Natalie, 2016. "Testing multivariate economic restrictions using quantiles: The example of Slutsky negative semidefiniteness," Journal of Econometrics, Elsevier, vol. 191(1), pages 129-144.
  38. repec:hum:wpaper:sfb649dp2016-058 is not listed on IDEAS
  39. Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2015. "Factorisable sparse tail event curves," SFB 649 Discussion Papers 2015-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  40. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
  41. Chaouch, Mohamed & Goga, Camelia, 2010. "Design-based estimation for geometric quantiles with application to outlier detection," Computational Statistics & Data Analysis, Elsevier, vol. 54(10), pages 2214-2229, October.
  42. Marc Hallin & Miroslav Šiman, 2016. "Multiple-Output Quantile Regression," Working Papers ECARES ECARES 2016-03, ULB -- Universite Libre de Bruxelles.
  43. repec:hum:wpaper:sfb649dp2015-034 is not listed on IDEAS
  44. Pavel Boček & Miroslav Šiman, 2017. "On weighted and locally polynomial directional quantile regression," Computational Statistics, Springer, vol. 32(3), pages 929-946, September.
  45. del Barrio, Eustasio & González-Sanz, Alberto & Hallin, Marc, 2020. "A note on the regularity of optimal-transport-based center-outward distribution and quantile functions," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
  46. Chao, Shih-Kang & Härdle, Wolfgang Karl & Huang, Chen, 2016. "Multivariate factorisable sparse asymmetric least squares regression," SFB 649 Discussion Papers 2016-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  47. Daniel Hlubinka & Lukáš Kotík & Miroslav Šiman, 2022. "Multivariate quantiles with both overall and directional probability interpretation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(4), pages 1586-1604, December.
  48. Baumeister, Marléne & Ditzhaus, Marc & Pauly, Markus, 2024. "Quantile-based MANOVA: A new tool for inferring multivariate data in factorial designs," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
  49. Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
  50. Barme-Delcroix, Marie-Françoise & Brito, Margarida, 2019. "Uniform estimation of isobars," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 94-100.
  51. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
  52. Paul Embrechts & Marius Hofert, 2013. "A note on generalized inverses," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 423-432, June.
  53. Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
  54. Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
  55. repec:spo:wpmain:info:hdl:2441/64itsev5509q8aa5mrbhi0g0b6 is not listed on IDEAS
  56. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
  57. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
  58. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
  59. Belzunce, F. & Castano, A. & Olvera-Cervantes, A. & Suarez-Llorens, A., 2007. "Quantile curves and dependence structure for bivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 5112-5129, June.
  60. Bhattacharya, Indrabati & Ghosal, Subhashis, 2021. "Bayesian multivariate quantile regression using Dependent Dirichlet Process prior," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
  61. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
  62. Ma, Xuejun & Wang, Shaochen & Zhou, Wang, 2021. "Testing multivariate quantile by empirical likelihood," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
  63. Christophe Ley & Camille Sabbah & Thomas Verdebout, 2014. "A new concept of quantiles for directional data and the angular Mahalanobis depth," Working Papers ECARES ECARES 2013-23, ULB -- Universite Libre de Bruxelles.
  64. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  65. Hélène Cossette & Mélina Mailhot & Étienne Marceau & Mhamed Mesfioui, 2016. "Vector-Valued Tail Value-at-Risk and Capital Allocation," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 653-674, September.
  66. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
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