Quantiles underpin widely used tools in finance, insurance, and economic inequality—yet building statistical inference for quantiles can be challenging because empirical quantiles are order statistics ...
PROC STDIZE offers two methods for computing quantiles: the one-pass approach and the order-statistics approach (like that used in the UNIVARIATE procedure). The one-pass approach used in PROC STDIZE ...
Operational risk reserves are still widely estimated using the loss distribution approach. The accuracy of the estimation depends heavily on the accuracy with which the extreme quantiles of the ...
Quantiles and expectiles analyze the regression model not only at the mean but also in the tails. Financial losses, medical insurance, auction bids, insurance claims and toxicity limits are all areas ...
Lichtendahl, Kenneth C., Yael Grushka-Cockayne, and Robert L. Winkler. "Is it Better to Average Probabilities or Quantiles?" Management Science 59, no. 7 (July 2013): 1594–1611.
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