On multivariate quantiles under partial orders

Details On multivariate quantiles under partial orders On multivariate quantiles under partial orders

2009-12-29

arxiv.org/abs/0912.5489v3

Annals of Statistics 2011, Vol. 39, No. 2, 1125-1179

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/10-AOS863 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/10-AOS863

This paper focuses on generalizing quantiles from the ordering point of view. We propose the concept of partial quantiles, which are based on a given partial order. We establish that partial quantiles are equivariant under order-preserving transformations of the data, robust to outliers, characterize the probability distribution if the partial order is sufficiently rich, generalize the concept of efficient frontier, and can measure dispersion from the partial order perspective. We also study several statistical aspects of partial quantiles. We provide estimators, associated rates of convergence, and asymptotic distributions that hold uniformly over a continuum of quantile indices. Furthermore, we provide procedures that can restore monotonicity properties that might have been disturbed by estimation error, establish computational complexity bounds, and point out a concentration of measure phenomenon (the latter under independence and the componentwise natural order). Finally, we illustrate the concepts by discussing several theoretical examples and simulations. Empirical applications to compare intake nutrients within diets, to evaluate the performance of investment funds, and to study the impact of policies on tobacco awareness are also presented to illustrate the concepts and their use.

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