Forthcoming

A Multivariate Quantile Based on Kendall Ordering

Accepted - September 2021

Authors

Keywords:

multivariate quantile, copula, Archimedean copula, Kendall distribution, orthant quantile

Abstract

We introduce the Kendall multivariate quantiles, which are a transformation of orthant quantiles by the Kendall function. Each quantile is then a set of vectors with some advantageous properties, compared to the standard orthant quantile: i/ it in[1]duces a total order, ii/ the probability level of the quantile is consistent with the probability measure of the set of the dominated vectors, iii/ the multivariate quantiles based on the distribution function or on the survival function have vectors in common which conciliate both upper- and lower-orthant approaches. Definition and properties of the Kendall multivariate quantiles are illustrated using Archimedean copulas.

Published

2021-09-30

How to Cite

Garcin , M., Guégan , D., & Hassani , B. (2021). A Multivariate Quantile Based on Kendall Ordering: Accepted - September 2021. REVSTAT-Statistical Journal. Retrieved from https://revstat.ine.pt/index.php/REVSTAT/article/view/397

Issue

Section

Forthcoming Paper