Computing expectiles via fixed point iterations
Fuente:
arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866915471005057024 |
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| author | Ha, Thi Khanh Linh Hamel, Andreas Heinrich Kostner, Daniel |
| author_facet | Ha, Thi Khanh Linh Hamel, Andreas Heinrich Kostner, Daniel |
| contents | Expectiles are statistical parameters which also provide a class of sublinear risk measures in finance. They are solutions of continuous optimization problems. The corresponding first order condition provides two different fixed point characterizations for expectiles, both of which can be utilized for computing them. Although especially the so-called two-sided version is already implemented and widely used, a general convergence proof appears to be new. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_00408 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Computing expectiles via fixed point iterations Ha, Thi Khanh Linh Hamel, Andreas Heinrich Kostner, Daniel Statistics Theory Probability 90C46, 65K05, 91G70 Expectiles are statistical parameters which also provide a class of sublinear risk measures in finance. They are solutions of continuous optimization problems. The corresponding first order condition provides two different fixed point characterizations for expectiles, both of which can be utilized for computing them. Although especially the so-called two-sided version is already implemented and widely used, a general convergence proof appears to be new. |
| title | Computing expectiles via fixed point iterations |
| topic | Statistics Theory Probability 90C46, 65K05, 91G70 |
| url | https://arxiv.org/abs/2509.00408 |