Abdelaati Daouia
Extremiles: A New Perspective on Asymmetric Least Squares
Daouia, Abdelaati; Gijbels, Irène; Stupfler, Gilles
Authors
Irène Gijbels
Gilles Stupfler
Abstract
Quantiles and expectiles of a distribution are found to be useful descriptors of its tail in the same way as the median and mean are related to its central behavior. This paper considers a valuable alternative class to expectiles, called extremiles, which parallels the class of quantiles and includes the family of expected minima and expected maxima. The new class is motivated via several angles, which reveals its specific merits and strengths. Extremiles suggest better capability of fitting both location and spread in data points and provide an appropriate theory that better displays the interesting features of long-tailed distributions. We discuss their estimation in the range of the data and beyond the sample maximum. A number of motivating examples are given to illustrate the utility of estimated extremiles in modeling noncentral behavior. There is in particular an interesting connection with coherent measures of risk protection.
Citation
Daouia, A., Gijbels, I., & Stupfler, G. (2019). Extremiles: A New Perspective on Asymmetric Least Squares. Journal of the American Statistical Association, 114(527), 1366-1381. https://doi.org/10.1080/01621459.2018.1498348
Journal Article Type | Article |
---|---|
Acceptance Date | Jul 4, 2018 |
Online Publication Date | Jul 18, 2018 |
Publication Date | 2019 |
Deposit Date | Jul 9, 2018 |
Publicly Available Date | Jul 19, 2019 |
Journal | Journal of the American Statistical Association |
Print ISSN | 0162-1459 |
Electronic ISSN | 1537-274X |
Publisher | Taylor and Francis |
Peer Reviewed | Peer Reviewed |
Volume | 114 |
Issue | 527 |
Pages | 1366-1381 |
DOI | https://doi.org/10.1080/01621459.2018.1498348 |
Public URL | https://nottingham-repository.worktribe.com/output/947216 |
Publisher URL | https://www.tandfonline.com/doi/full/10.1080/01621459.2018.1498348 |
Contract Date | Jul 9, 2018 |
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