Published January 2006
| Version Submitted
Working Paper
Open
A Simple Axiomatization of Quantiles on the Domain of Distribution Functions
Creators
Abstract
In an environment in which the primitive is the space of distribution functions, we characterize the quantile functions by the axioms ordinal covariance, monotonicity with respect to first order stochastic dominance, and upper semicontinuity. We show how to characterize the VAR in a similar manner.
Attached Files
Submitted - sswp1246.pdf
Files
sswp1246.pdf
Files
(172.6 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:a6228288eb82ae3ce57729267ee46d37
|
172.6 kB | Preview Download |
Additional details
Identifiers
- Eprint ID
- 79754
- Resolver ID
- CaltechAUTHORS:20170802-104836154
Dates
- Created
-
2017-08-02Created from EPrint's datestamp field
- Updated
-
2020-03-09Created from EPrint's last_modified field
Caltech Custom Metadata
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1246