On the Lp-quantiles for the Student t distribution

2016/05/25 by Bernardi, Mauro, Bignozzi, Valeria, Petrella, Lea
#FOS: Computer and information sciences #Methodology (stat.ME)

paper · doi:10.48550/arxiv.1605.07947

Abstract

L_p-quantiles represent an important class of generalised quantiles and are defined as the minimisers of an expected asymmetric power function, see Chen (1996). For p=1 and p=2 they correspond respectively to the quantiles and the expectiles. In his paper Koenker (1993) showed that the tau quantile and the tau expectile coincide for every tau in (0,1) for a class of rescaled Student t distributions with two degrees of freedom. Here, we extend this result proving that for the Student t distribution with p degrees of freedom, the tau quantile and the tau L_p-quantile coincide for every tau in (0,1) and the same holds for any affine transformation. Furthermore, we investigate the properties of L_p-quantiles and provide recursive equations for the truncated moments of the Student t distribution.

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