Lp-quantiles are a class of generalised quantiles defined as the minimisers of an expected asymmetric power function. For p=1 and p=2 they correspond respectively to the quantiles and the expectiles. In this contribution we show that for the class of Student t distributions with p degrees of freedom, the Lp-quantile and the quantile coincide for any confidence level τ∈(0,1). The proof involves concepts from combinatorial analysis as well as a recursive formula for the truncated moments of the Student t distribution. This work extends the contribution of Koenker (1993) that shows a similar result for the expectiles.
Bernardi, M., Bignozzi, V., & Petrella, L. (2017). On the Lp-quantiles for the Student t distribution. STATISTICS & PROBABILITY LETTERS, 128, 77-83.
Citazione: | Bernardi, M., Bignozzi, V., & Petrella, L. (2017). On the Lp-quantiles for the Student t distribution. STATISTICS & PROBABILITY LETTERS, 128, 77-83. |
Tipo: | Articolo in rivista - Articolo scientifico |
Carattere della pubblicazione: | Scientifica |
Presenza di un coautore afferente ad Istituzioni straniere: | No |
Titolo: | On the Lp-quantiles for the Student t distribution |
Autori: | Bernardi, M; Bignozzi, V; Petrella, L |
Autori: | |
Data di pubblicazione: | 2017 |
Lingua: | English |
Rivista: | STATISTICS & PROBABILITY LETTERS |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.spl.2017.04.017 |
Appare nelle tipologie: | 01 - Articolo su rivista |