TY - JOUR
AU - Garcin , Matthieu
AU - Guégan , Dominique
AU - Hassani , Bertrand
PY - 2021/09/30
Y2 - 2022/11/29
TI - A Multivariate Quantile Based on Kendall Ordering: Accepted - September 2021
JF - REVSTAT-Statistical Journal
JA - REVSTAT
VL -
IS -
SE - Forthcoming Paper
DO -
UR - https://revstat.ine.pt/index.php/REVSTAT/article/view/397
SP -
AB - <p>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: <em>i/</em> it in[1]duces a total order, <em>ii/</em> the probability level of the quantile is consistent with the probability measure of the set of the dominated vectors,<em> iii/</em> 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.</p>
ER -