TY - JOUR
T1 - Generalizing Koenker's distribution
AU - Zou, Hui
PY - 2014/5
Y1 - 2014/5
N2 - 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.
AB - 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.
KW - Expectile
KW - Koenker's distribution
KW - Quantile
UR - http://www.scopus.com/inward/record.url?scp=84897590650&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84897590650&partnerID=8YFLogxK
U2 - 10.1016/j.jspi.2013.12.004
DO - 10.1016/j.jspi.2013.12.004
M3 - Article
AN - SCOPUS:84897590650
SN - 0378-3758
VL - 148
SP - 123
EP - 127
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
ER -