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 ...
We evaluate the performance of different approaches for estimating quantiles of com- pound distributions, which are widely used for risk quantification in the banking and insurance industries. We ...
We consider Bayesian inferences on a type of multivariate median and the multivariate quantile functionals of a joint distribution using a Dirichlet process prior. Unlike univariate quantiles, 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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