【摘 要】
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Directional quantile envelopes essentially,depth contours---are a possible way to condense the directional quantile information,the information carried by t
【机 构】
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University of Alberta
【出 处】
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2009 International Conference on Financial Statistics and Fi
论文部分内容阅读
Directional quantile envelopes essentially,depth contours---are a possible way to condense the directional quantile information,the information carried by the quantiles of projections.In typical circumstances,they allow for relatively faithful and straightforward retrieval of the directional quantiles,offering a straightforward probabilistic interpretation in terms of the tangent mass at smooth boundary points.They can be viewed as a natural,nonparametric extension of "multivariate quantiles" yielded by fitted multivariate normal distribution,and,as illustrated on data examples,their construction can be adapted to elaborate frameworks that require more sophisticated estimation methods than simply evaluating quantiles for empirical distributions.
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