Extremiles: a new perspective on asymmetric least squares
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 include...
| Main Authors: | , , |
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| Format: | Article |
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Taylor & Francis
2019
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| Online Access: | https://eprints.nottingham.ac.uk/52820/ |
| _version_ | 1848798817189625856 |
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| author | Stupfler, Gilles Daouia, Abdelaati Gijbels, Irène |
| author_facet | Stupfler, Gilles Daouia, Abdelaati Gijbels, Irène |
| author_sort | Stupfler, Gilles |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T20:25:48Z |
| format | Article |
| id | nottingham-52820 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T20:25:48Z |
| publishDate | 2019 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-528202020-05-04T19:46:46Z https://eprints.nottingham.ac.uk/52820/ Extremiles: a new perspective on asymmetric least squares Stupfler, Gilles Daouia, Abdelaati Gijbels, Irène 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. Taylor & Francis 2019 Article PeerReviewed Stupfler, Gilles, Daouia, Abdelaati and Gijbels, Irène (2019) Extremiles: a new perspective on asymmetric least squares. Journal of the American Statistical Association, 114 (527). pp. 1366-1381. ISSN 1537-274X https://www.tandfonline.com/doi/full/10.1080/01621459.2018.1498348 doi:10.1080/01621459.2018.1498348 doi:10.1080/01621459.2018.1498348 |
| spellingShingle | Stupfler, Gilles Daouia, Abdelaati Gijbels, Irène Extremiles: a new perspective on asymmetric least squares |
| title | Extremiles: a new perspective on asymmetric least squares |
| title_full | Extremiles: a new perspective on asymmetric least squares |
| title_fullStr | Extremiles: a new perspective on asymmetric least squares |
| title_full_unstemmed | Extremiles: a new perspective on asymmetric least squares |
| title_short | Extremiles: a new perspective on asymmetric least squares |
| title_sort | extremiles: a new perspective on asymmetric least squares |
| url | https://eprints.nottingham.ac.uk/52820/ https://eprints.nottingham.ac.uk/52820/ https://eprints.nottingham.ac.uk/52820/ |