Recovery of quantile and quantile density function using the frequency moments

DOI10.1016/j.spl.2018.04.022zbMath1463.62121OpenAlexW2800391643MaRDI QIDQ1644184

Aleksandre Sborshchikovi, Robert M. Mnatsakanov

Publication date: 21 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.04.022

zbMATH Keywords

expected shortfallquantile functionfrequency momentsrisk modelsquantile density function

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08)

Related Items (1)

Density estimation using bootstrap quantile variance and quantile-mean covariance

Cites Work

• Unnamed Item
• Approximation of the ruin probability using the scaled Laplace transform inversion
• On the moment-recovered approximations of regression and derivative functions with applications
• Recovery of a quantile function from moments
• Estimating densities, quantiles, quantile densities and density quantiles
• Unified estimators of smooth quantile and quantile density functions
• An Investigation of Quantile Function Estimators Relative to Quantile Confidence Interval Coverage
• A Smooth Nonparametric Estimator of a Quantile Function
• A new distribution-free quantile estimator
• Nonparametric Statistical Data Modeling
• Recovery of functions from transformed moments: A unified approach

This page was built for publication: Recovery of quantile and quantile density function using the frequency moments