Recovery of a quantile function from moments

DOI10.1016/j.cam.2016.11.028zbMath1357.62156OpenAlexW2562954426MaRDI QIDQ729882

Robert M. Mnatsakanov, Aleksandre Sborshchikovi

Publication date: 22 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.11.028

zbMATH Keywords

Laplace transform inversionquantile functionLorenz curvemoment-recovered approximation

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric estimation (62G05) Characteristic functions; other transforms (60E10) Moment problems (44A60)

Related Items (3)

Recovery of ruin probability and value at risk from the scaled Laplace transform inversion ⋮ Recovery of quantile and quantile density function using the frequency moments ⋮ Approximations of copulas via transformed moments

Cites Work

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• Kernel Quantile Estimators
• A Smooth Nonparametric Estimator of a Quantile Function
• A new distribution-free quantile estimator
• Bandwith selection for the smoothing of distribution functions
• A New Kernel Distribution Function Estimator Based on a Non‐parametric Transformation of the Data

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