AMU - Aix Marseille Université (Aix-Marseille Université
Jardins du Pharo
58 Boulevard Charles Livon
13284 Marseille cedex 7 - France)
Abstract : The notion of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management.The alternative family of expectiles is based on squared rather than absolute error loss minimization. Both quantiles and expectiles can be embedded in the more general class of Lp-quantiles as the minimizers of an asymmetric power loss function. In this talk, new methods will be presented for estimating high Lp-quantiles from heavy-tailed distributions.
https://hal.archives-ouvertes.fr/hal-01415533 Contributor : Stephane GirardConnect in order to contact the contributor Submitted on : Tuesday, December 13, 2016 - 11:37:26 AM Last modification on : Friday, February 4, 2022 - 3:33:51 AM