Matching a Distribution by Matching Quantiles Estimation

DOI10.1080/01621459.2014.929522zbMath1373.62530OpenAlexW1988980122WikidataQ36287113 ScholiaQ36287113MaRDI QIDQ5367398

Claudia Yastremiz, Qiwei Yao, Nikolaos Sgouropoulos

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2014.929522

zbMATH Keywords

sample quantileLassoportfolio trackingordinary least-squares estimationgoodness-of-matchmatching quantiles estimation (MQE)representative portfolio

Mathematics Subject Classification ID

Density estimation (62G07) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Large deviations for method-of-quantiles estimators of one-dimensional parameters ⋮ General matching quantiles M-estimation ⋮ Matching distributions for survival data ⋮ Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation ⋮ Facility dependent distance decay in competitive location ⋮ Predicting disease risks by matching quantiles estimation for censored data

This page was built for publication: Matching a Distribution by Matching Quantiles Estimation