Generalizing Koenker's distribution

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Abstract

Koenker (1993) discovered an interesting distribution whose α quantile and α expectile coincide for every α in (0, 1). We analytically characterize the distribution whose ω. (α) expectile and α quantile coincide, where ω. (·) can be any monotone function. We further apply the general theory to derive generalized Koenker's distributions corresponding to some simple mapping functions. Similar to Koenker's distribution, the generalized Koenker's distributions do not have a finite second moment.

Original languageEnglish (US)
Pages (from-to)123-127
Number of pages5
JournalJournal of Statistical Planning and Inference
Volume148
DOIs
StatePublished - May 1 2014

Keywords

  • Expectile
  • Koenker's distribution
  • Quantile

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