Extremiles: A New Perspective on Asymmetric Least Squares

• 成果类型: Article
• 署名作者: Daouia, Abdelaati; Gijbels, Irene; Stupfler, Gilles
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; KU Leuven; KU Leuven; University of Nottingham
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2018.1498348
• 发表日期: 2019
• 页码: 1366-1381
• 关键词: probability weighted moments; infinite-mean models; expected shortfall; Risk measures; parameters; quantiles; tail

摘要

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 article 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.