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Multivariate expectile trimming and the BExPlot

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorCascos Fernández, Ignacio
dc.contributor.authorOchoa Arellano, Maicol Jesús
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2019-05-29T13:19:27Z
dc.date.available2019-05-29T13:19:27Z
dc.date.issued2019-05
dc.description.abstractExpectiles are the solution to an asymmetric least squares minimization problem for univariate data. They resemble some similarities with the quantiles, and just like them, expectiles are indexed by a level α. In the present paper, we introduce and discuss the main properties of the expectile multivariate trimmed regions, a nested family of sets, whose instance with trimming level α is built up by all points whose univariate projections lie between the expectiles of levels α and 1 − α of the projected dataset. Such trimming level is interpreted as the degree of centrality of a point with respect to a multivariate distribution and therefore serves as a depth function. We study here the convergence of the sample expectile trimmed regions to the population ones and the uniform consistency of the sample expectile depth. We also provide efficient algorithms for determining the extreme points of the expectile regions as well as for computing the depth of a point in R2. These routines are based on circular sequence constructions. Finally, we present some real data examples for which the Bivariate Expectile Plot (BExPlot) is introduced.en
dc.description.sponsorshipThis research was partially supported by the Spanish Ministry of Science and Innovation under grant ECO2015-66593-P.en
dc.identifier.issn2387-0303es
dc.identifier.urihttps://hdl.handle.net/10016/28434
dc.identifier.uxxiDT/0000001706es
dc.language.isoeng
dc.relation.ispartofseriesWorking paper. Statistics and Econometricsen
dc.relation.ispartofseries19-05es
dc.relation.projectIDGobierno de España. ECO2015-66593-Pes
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.otherAlgorithmsen
dc.subject.otherBagploten
dc.subject.otherData depthen
dc.subject.otherExpectileen
dc.subject.otherTrimmed regionsen
dc.titleMultivariate expectile trimming and the BExPloten
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
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