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Multivariate geometric expectiles - MaRDI portal

Multivariate geometric expectiles (Q4583625)

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scientific article; zbMATH DE number 6930182
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English
Multivariate geometric expectiles
scientific article; zbMATH DE number 6930182

    Statements

    title
    Multivariate geometric expectiles (English)
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    author
    Klaus Herrmann
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    Marius Hofert
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    Mélina Mailhot
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    publication date
    31 August 2018
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    zbMATH Keywords
    expectile
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    geometric quantile
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    elicitability
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    dependence
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    minimizing expected loss
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    multivariate risk measure
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    describes a project that uses
    CopulaModel
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    QRM
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    cites work
    Q3703094
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    Q3412547
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    Q4839921
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    Q5357880
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    Q4328700
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    Robust Statistics
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    Regression Quantiles
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    Q3672893
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    Q5253267
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    Q5526189
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62H05
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    91B30
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    91G70
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    zbMATH DE Number
    6930182
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    OpenAlex ID
    W2606937651
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    arXiv ID
    1704.01503
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